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Sectoral Fluctuations in U.K. Firms' Investment Expenditures

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Author Info
Mustafa Caglayan () (University of Liverpool)
Neslihan Ozkan () (University of Liverpool)
Christopher F Baum () (Boston College)

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Abstract

In this paper we empirically investigate whether sectoral business investment fluctuations in the U.K. are due to aggregate or sector-specific innovations. Using quarterly business investment data for ten industrial sectors over 1978-2000, we evaluate the nature of their intercorrelations by the use of vector autoregressive and factor analytic models. We find that both common and sector specific shocks have important effects in explaining sectoral comovements.

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Publisher Info
Paper provided by University of Liverpool Management School in its series Research Papers with number 2002_01.

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Date of creation: 2002
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Handle: RePEc:liv:livedp:2002_01

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Postal: Management School University of Liverpool, Chatham Street, Liverpool, L69 7ZH, Great Britain
Phone: +44(0)151 795 3108
Fax: +44(0)151 795 3004
Web page: http://www.liv.ac.uk/management/
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Related research
Keywords: Investment; Sectoral behavior; VAR; Factor analysis;

Other versions of this item:

Find related papers by JEL classification:
C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions
E22 - Macroeconomics and Monetary Economics - - Macroeconomics: Consumption, Saving, Production, Employment, and Investment - - - Capital; Investment; Capacity
E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

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References listed on IDEAS
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    Other versions:
  2. Benhabib, Jess & Rogerson, Richard & Wright, Randall, 1991. "Homework in Macroeconomics: Household Production and Aggregate Fluctuations," Journal of Political Economy, University of Chicago Press, vol. 99(6), pages 1166-87, December. [Downloadable!] (restricted)
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  3. Lawrence J. Christiano & Richard M. Todd, 1996. "Time to plan and aggregate fluctuations," Quarterly Review, Federal Reserve Bank of Minneapolis, issue Win, pages 14-27. [Downloadable!]
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  6. Bennett T. McCallum, 1987. "On "Real" and "Sticky-Price" Theories of the Business Cycle," NBER Working Papers 1933, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  7. Blackley, Paul R., 2000. "Sources of sectoral fluctuations in business fixed investment," Journal of Economics and Business, Elsevier, vol. 52(6), pages 473-484. [Downloadable!] (restricted)
  8. Cooper, Russell & Haltiwanger, John, 1996. "Evidence on Macroeconomic Complementarities," The Review of Economics and Statistics, MIT Press, vol. 78(1), pages 78-93, February. [Downloadable!] (restricted)
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  9. Gregory W. Huffman & Mark A. Wynne, 1995. "The role of intratemporal adjustment costs in a multi-sector economy," Working Papers 95-08, Federal Reserve Bank of Dallas. [Downloadable!]
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  12. Acemoglu, Daron, 1993. "Learning about Others' Actions and the Investment Accelerator," Economic Journal, Royal Economic Society, vol. 103(417), pages 318-28, March. [Downloadable!] (restricted)
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  13. Cooper, Russell & Haltiwanger, John, 1990. "Inventories and the Propagation of Sectoral Shocks," American Economic Review, American Economic Association, vol. 80(1), pages 170-90, March. [Downloadable!] (restricted)
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  14. 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. [Downloadable!] (restricted)
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  17. Kwiatkowski, Denis & Phillips, Peter C. B. & Schmidt, Peter & Shin, Yongcheol, 1992. "Testing the null hypothesis of stationarity against the alternative of a unit root : How sure are we that economic time series have a unit root?," Journal of Econometrics, Elsevier, vol. 54(1-3), pages 159-178. [Downloadable!] (restricted)
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Antonio Palestrini, 2008. "Common Components in Firms' Growth and the Sectors Scaling Puzzle," Economics Bulletin, Economics Bulletin, vol. 12(35), pages 1-8. [Downloadable!]
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