An inquiry into the sources of macroeconomic fluctuations

This paper attempts to decompose the sources of fluctuations in quarterly employment by industry and region into: (1) an aggregate (national) shock, (2) region-specific shocks, (3) industry-specific shocks, and (4) idiosyncratic factors. The empirical analysis is motivated by a dynamic theory of the...

Full description

Saved in:
Bibliographic Details
Published in:Journal of monetary economics 1988-07, Vol.22 (1), p.43-70
Main Authors: Norrbin, Stefan C., Schlagenhauf, Don E.
Format: Article
Language:English
Subjects:
Algorithms
Business cycles
Econometrics
Economic fluctuations
Economic models
Economic theory
Employment
Fluctuations
Macroeconomics
Multivariate analysis
Time series
Citations: Items that this one cites
Items that cite this one
Online Access:Get full text
Tags: Add Tag
No Tags, Be the first to tag this record!
Description
Summary:This paper attempts to decompose the sources of fluctuations in quarterly employment by industry and region into: (1) an aggregate (national) shock, (2) region-specific shocks, (3) industry-specific shocks, and (4) idiosyncratic factors. The empirical analysis is motivated by a dynamic theory of the business cycle. The empirical methodology is the Engle-Watson dynamic MIMIC model, implemented via the EM algorithm. The work is motivated as an attempt to compare empirically aggregate, ‘single-factor’ theories of the cycle with real business cycle theories emphasizing industrial or regional shocks.
ISSN:0304-3932
1873-1295
DOI:10.1016/0304-3932(88)90169-9