Persistence of Shocks and Their
This paper develops a multisectoral framework for the measurement of persistence of shocks to sectoral and aggregate output, and provides a decomposition of the contribution of shocks from different sources to the overall persistence measure. The framework is applied to U.K. output data, distinguishing four types of macroeconomic shocks: innovations in money supply growth, stock returns, exchange rates, and oil prices. Among the macro shocks, exchange-rate shocks have the largest persistence effects on aggregate output, through their effects on manufacturing sectors. The contribution of the identified macro shocks to total persistence was small, however, compared to that of sector-specific shocks. Copyright 1992 by Royal Economic Society.
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Volume (Year): 102 (1992)
Issue (Month): 411 (March)
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