Employment comovements at the sectoral level over the business cycle

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dc.contributor.author Cassou, Steven P.
dc.contributor.author Vázquez, Jesús
dc.date.accessioned 2014-07-29T17:19:31Z
dc.date.available 2014-07-29T17:19:31Z
dc.date.issued 2014-07-29
dc.identifier.uri http://hdl.handle.net/2097/18155
dc.description.abstract This paper implements the technique suggested by Den Haan (J Monet Econ 46:3–30, 2000) to investigate contemporaneous as well as lead and lag correlations among economic data for a range of forecast horizons. The lead/lag approach provides a richer picture of the economic dynamics generating the data and allows one to investigate which variables lead or lag others, and whether the lead or lag pattern is short term or long term in nature. This technique is applied to monthly sectoral level employment data for the USA and shows that among the ten industrial sectors followed by the US Bureau of Labor Statistics, six tend to lead the other four. These six have high correlations indicating that the structural shocks generating the data movements are mostly in common. Among the four lagging industries, some lag by longer intervals than others and some have low correlations with the leading industries. These low correlations may indicate that these industries are partially influenced by structural shocks beyond those generating the six leading industries, but they also may indicate that lagging sectors feature a different transmission mechanism of shocks. en_US
dc.language.iso en_US en_US
dc.relation.uri http://link.springer.com/article/10.1007/s00181-013-0720-7 en_US
dc.rights The final publication is available at link.springer.com en_US
dc.subject Business cycle en_US
dc.subject Sectoral employment comovement en_US
dc.subject Leading and lagging sectors en_US
dc.subject Forecast errors en_US
dc.title Employment comovements at the sectoral level over the business cycle en_US
dc.type Article (author version) en_US
dc.date.published 2014 en_US
dc.citation.doi doi:10.1007/s00181-013-0720-7 en_US
dc.citation.epage 1323 en_US
dc.citation.issue 4 en_US
dc.citation.jtitle Empirical Economics en_US
dc.citation.spage 1301 en_US
dc.citation.volume 46 en_US
dc.contributor.authoreid scassou en_US


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