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Micro vs macro explanations of post-war US unemployment movements

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  • Heaton, Chris
  • Oslington, Paul

Abstract

This paper considers contributions of industry-sectoral-micro shocks vs aggregate macro shocks. A dynamic factor model is estimated with maximum likelihood method in the frequency domain, and decomposes US unemployment movements into industry sectoral and common components. Sectoral shocks account for around half unemployment movements.

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Bibliographic Info

Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 106 (2010)
Issue (Month): 2 (February)
Pages: 87-91

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Handle: RePEc:eee:ecolet:v:106:y:2010:i:2:p:87-91

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Web page: http://www.elsevier.com/locate/ecolet

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Keywords: Structural unemployment Sectoral vs aggregate shocks Dynamic factor analysis;

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  1. Long, John B, Jr & Plosser, Charles I, 1987. "Sectoral vs. Aggregate Shocks in the Business Cycle," American Economic Review, American Economic Association, vol. 77(2), pages 333-36, May.
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  6. Forni, Mario & Hallin, Marc & Lippi, Marco & Reichlin, Lucrezia, 2004. "The generalized dynamic factor model consistency and rates," Journal of Econometrics, Elsevier, vol. 119(2), pages 231-255, April.
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  8. Catherine Doz & Domenico Giannone & Lucrezia Reichlin, 2006. "A Two-step estimator for large approximate dynamic factor models based on Kalman filtering," THEMA Working Papers 2006-23, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
  9. Chris Heaton & Victor Solo, 2004. "Identification of causal factor models of stationary time series," Econometrics Journal, Royal Economic Society, vol. 7(2), pages 618-627, December.
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  13. Mario Forni & Lucrezia Reichlin, 1998. "Let's get real: a factor analytical approach to disaggregated business cycle dynamics," ULB Institutional Repository 2013/10147, ULB -- Universite Libre de Bruxelles.
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  16. Matsuyama, Kiminori, 1992. "A Simple Model of Sectoral Adjustment," Review of Economic Studies, Wiley Blackwell, vol. 59(2), pages 375-88, April.
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  18. Robert E. Hall, 2003. "Modern Theory of Unemployment Fluctuations: Empirics and Policy Applications," American Economic Review, American Economic Association, vol. 93(2), pages 145-150, May.
  19. Norrbin, Stefan C. & Schlagenhauf, Don E., 1988. "An inquiry into the sources of macroeconomic fluctuations," Journal of Monetary Economics, Elsevier, vol. 22(1), pages 43-70, July.
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  21. Lilien, David M, 1982. "Sectoral Shifts and Cyclical Unemployment," Journal of Political Economy, University of Chicago Press, vol. 90(4), pages 777-93, August.
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Cited by:
  1. Heaton, Chris & Solo, Victor, 2012. "Estimation of high-dimensional linear factor models with grouped variables," Journal of Multivariate Analysis, Elsevier, vol. 105(1), pages 348-367.

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