Sources of output fluctuations in the United States during the inter-war and post-war years

This paper attempts to decompose the sources of fluctuations in industry output into: (1) an aggregate (national) shock, (2) industry group specific shocks, and (3) idiosyncratic factors. The empirical methodology is the Engle-Watson dynamic MIMIC model. The work is motivated as an attempt to compar...

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Bibliographic Details
Published in:Journal of economic dynamics & control 1990, Vol.14 (3), p.523-551
Main Authors: Norrbin, Stefan C., Schlagenhauf, Don E.
Format: Article
Language:English
Subjects:
Business cycles
Fluctuations
Industrial markets
Industrial productivity
Macroeconomics
Mathematical models
Output
Statistical analysis
Studies
U.S.A
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Summary:This paper attempts to decompose the sources of fluctuations in industry output into: (1) an aggregate (national) shock, (2) industry group specific shocks, and (3) idiosyncratic factors. The empirical methodology is the Engle-Watson dynamic MIMIC model. The work is motivated as an attempt to compare empirically aggregate, ‘single factor’ theories of the cycle with real business cycle theories emphasizing technology shocks. Disaggregate data from the inter-war and post-war periods are examined. Conclusions on the relative importance of the various shocks seem to be dependent on the period being considered. The ‘single index’ theory of the cycle seems more appropriate for the inter-war period.
ISSN:0165-1889
1879-1743
DOI:10.1016/0165-1889(90)90032-C