The comovement in inventories and in sales: Higher and higher
We re-examine changes in the cross-section correlation pattern of sales and inventories using Ng's [Ng, S., 2006, Testing cross-section correlation in panel data using spacings, Journal of Business and Economic Statistics, 24 (1), 12-23] "uniform spacing" method, which permits the estimation of the number of correlated pairs and focuses on the conditional correlations. In contrast to the literature, we find that the correlation of shocks across industries increased after the 'Great Moderation'.
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- Valerie A. Ramey & Daniel J. Vine, 2004.
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- Herrera, Ana Maria & Pesavento, Elena, 2005.
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- Ana Maria Herrero & Elena Pesavento, 2003. "The Decline in U.S. Output Volatility: Structural Changes and Inventory Investment," Emory Economics 0301, Department of Economics, Emory University (Atlanta).
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- F. Owen Irvine & Scott Schuh, 2005. "The roles of comovement and inventory investment in the reduction of output volatility," Working Papers 05-9, Federal Reserve Bank of Boston.
- Ng, Serena, 2006. "Testing Cross-Section Correlation in Panel Data Using Spacings," Journal of Business & Economic Statistics, American Statistical Association, vol. 24, pages 12-23, January.
- Irvine, F. Owen & Schuh, Scott, 2005. "Inventory investment and output volatility," International Journal of Production Economics, Elsevier, vol. 93(1), pages 75-86, January.
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