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- Title
PERSISTENCE OF SHOCKS AND THEIR SOURCES IN A MULTISECTORAL MODEL OF UK OUTPUT GROWTH.
- Authors
Lee, Kevin C.; Pesaran, M. Hashem; Pierse, Richard G.
- Abstract
In this paper, we aim to develop the multisectoral framework set out in PPL further, focusing in particular on the relative contribution of shocks generated from different sources to the overall measure of persistence. In Section I, we develop a multisectoral model in which the effects of different shocks to output in different sectors can be analysed explicitly, and discuss the measurement of persistence effects of the different types of shocks in such a model. In Section II, this framework is applied in an analysis of output growth in the UK economy disaggregated by eight industrial sectors. Estimates of persistence of shocks in each sector and for the economy as a whole are presented, using quarterly data covering the period 1960q1-1989q4. Four types of macro shocks are considered; innovations in money supply growth, in stock returns, in exchange rates, and in oil prices. This is by no means a comprehensive list of all possible sources of macro shocks relevant to the United Kingdom, but represents some of the more interesting ones.
- Subjects
UNITED Kingdom; UNITED States; ECONOMIC models; ECONOMIC conditions in Great Britain; GROSS national product; ECONOMIC indicators
- Publication
Economic Journal, 1992, Vol 102, Issue 411, p342
- ISSN
0013-0133
- Publication type
Article
- DOI
10.2307/2234519