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Sectoral Fluctuations in U.K. Firms' Investment Expenditures


  • Mustafa Caglayan

    () (University of Liverpool)

  • Neslihan Ozkan

    () (University of Liverpool)

  • Christopher F Baum

    () (Boston College)


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.

Suggested Citation

  • Mustafa Caglayan & Neslihan Ozkan & Christopher F Baum, 2002. "Sectoral Fluctuations in U.K. Firms' Investment Expenditures," Research Papers 2002_01, University of Liverpool Management School.
  • Handle: RePEc:liv:livedp:2002_01

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    13. Lawrence H. Summers, 1986. "Some skeptical observations on real business cycle theory," Quarterly Review, Federal Reserve Bank of Minneapolis, issue Fall, pages 23-27.
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    15. Horvath, Michael, 2000. "Sectoral shocks and aggregate fluctuations," Journal of Monetary Economics, Elsevier, vol. 45(1), pages 69-106, February.
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    Cited by:

    1. repec:ebl:ecbull:v:12:y:2008:i:35:p:1-8 is not listed on IDEAS
    2. 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.

    More about this item


    Investment; Sectoral behavior; VAR; Factor analysis;

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E22 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Investment; Capital; Intangible Capital; Capacity
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

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