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Sectoral Fluctuations in U.K. Firms' Investment Expenditures

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  • Mustafa Caglayan

    ()
    (University of Liverpool)

  • Neslihan Ozkan

    ()
    (University of Liverpool)

  • Christopher F Baum

    ()
    (Boston College)

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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Bibliographic 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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Keywords: Investment; Sectoral behavior; VAR; Factor analysis;

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References

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  1. Daron Acemoglu, 1992. "Learning about Others Actions and the Investment Accelerator," CEP Discussion Papers dp0072, Centre for Economic Performance, LSE.
  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.
  3. Andreas Hornstein & Jack Praschnik, 1997. "Intermediate inputs and sectoral comovement in the business cycle," Working Paper 97-06, Federal Reserve Bank of Richmond.
  4. Gregory W. Huffman & Mark A. Wynne, 1995. "The role of intratemporal adjustment costs in a multi-sector economy," Working Papers 9508, Federal Reserve Bank of Dallas.
  5. Russell Cooper & John C. Haltiwanger, 1987. "Inventories and the Propagation of Sectoral Shocks," NBER Working Papers 2425, National Bureau of Economic Research, Inc.
  6. Mankiw, N Gregory, 1989. "Real Business Cycles: A New Keynesian Perspective," Journal of Economic Perspectives, American Economic Association, vol. 3(3), pages 79-90, Summer.
  7. Greenwood, Jeremy & Hercowitz, Zvi, 1991. "The Allocation of Capital and Time over the Business Cycle," Journal of Political Economy, University of Chicago Press, vol. 99(6), pages 1188-214, December.
  8. Lawrence H. Summers, 1986. "Some skeptical observations on real business cycle theory," Quarterly Review, Federal Reserve Bank of Minneapolis, issue Fall, pages 23-27.
  9. Fama, Eugene F., 1992. "Transitory variation in investment and output," Journal of Monetary Economics, Elsevier, vol. 30(3), pages 467-480, December.
  10. McCallum, Bennett T, 1986. "On "Real' and "Sticky-Price' Theories of the Business Cycle," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 18(4), pages 397-414, November.
  11. Kwiatkowski, D. & Phillips, P.C.B. & Schmidt, P., 1990. "Testing the Null Hypothesis of Stationarity Against the Alternative of Unit Root : How Sure are we that Economic Time Series have a Unit Root?," Papers 8905, Michigan State - Econometrics and Economic Theory.
  12. Russell Cooper & John Haltiwanger, 1993. "Evidence on Macroeconomic Complementarities," NBER Working Papers 4577, National Bureau of Economic Research, Inc.
  13. Long, John B, Jr & Plosser, Charles I, 1983. "Real Business Cycles," Journal of Political Economy, University of Chicago Press, vol. 91(1), pages 39-69, February.
  14. Horvath, Michael, 2000. "Sectoral shocks and aggregate fluctuations," Journal of Monetary Economics, Elsevier, vol. 45(1), pages 69-106, February.
  15. Blackley, Paul R., 2000. "Sources of sectoral fluctuations in business fixed investment," Journal of Economics and Business, Elsevier, vol. 52(6), pages 473-484.
  16. 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.
  17. 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.
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Cited by:
  1. Gallegati, M. & Palestrini, A., 2010. "The complex behavior of firms' size dynamics," Journal of Economic Behavior & Organization, Elsevier, vol. 75(1), pages 69-76, July.
  2. repec:ebl:ecbull:v:12:y:2008:i:35:p:1-8 is not listed on IDEAS

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