How Important Are Sectoral Shocks?

How Important Are Sectoral Shocks?

I quantify the contribution of sectoral shocks to business cycle fluctuations in aggregate output. I develop and estimate a multi-industry general equilibrium model in which each industry employs the material and capital goods produced by other sectors. Using data on U.S. industries’ input prices and input choices, I find that the goods produced by different industries are complements to one an...

Online Appendix to "How Important Are Sectoral Shocks?"

In this section, I will apply plant-level input price variation and materials usage to provide an alternate set of estimates of εQ. To do so, I pursue the following two-part strategy. For each industry, I estimate how easily individual plants substitute across their factors of production, by relating plants’ materials purchases to their materials prices. Then, I apply the methods developed in O...

Differences across the June , 2014 and December , 2015 versions of How Important Are Sectoral Shocks ?

While the main results– first, that industry-specific shocks are more important than previously thought, accounting for more than half of aggregate volatility, and second, that this difference arises from past papers’imposition of unitary elasticities of substitution– of the two versions of How Important Are Sectoral Shocks? are the same, the way in which I arrive at these results are suffi cie...

How Important Are Uncertainty Shocks in the Housing Market?

Time-varying Risk of Nominal Bonds: How Important Are Macroeconomic Shocks?

I analyze the risk of nominal assets within an external habit model supplemented with novel macroeconomic dynamics. Despite featuring flexible non-Gaussian fundamental processes, the model can be solved in closed-form. The estimation identifies time-varying ”demand-like” and ”supply-like” macroeconomic shocks directly linked to the risk of nominal assets. In addition to matching standard proper...