Estimating large-dimensional connectedness tables : the great moderation through the lens of sectoral spillovers / by Felix Brunner and Ruben Hipp.: FB3-5/2021-37E-PDF
"We estimate sectoral spillovers around the Great Moderation with the help of forecast error variance decomposition tables. Obtaining such tables in high dimensions is challenging since they are functions of the estimated vector autoregressive coefficients and the residual covariance matrix. In a simulation study, we compare various regularization methods for both and conduct a comprehensive analysis of their performance. We show that standard estimators of large connectedness tables lead to biased results and high estimation uncertainty, which can both be mitigated by regularization. To explore possible causes for the Great Moderation, we apply a cross-validated estimator on sectoral spillovers of industrial production in the US from 1972 to 2007. We find that a handful of sectors considerably decreased their outgoing links, which hints at a complimentary explanation for the Great Moderation"--Abstract, page iii.
Permanent link to this Catalogue record:
publications.gc.ca/pub?id=9.903145&sl=0
| Department/Agency | Bank of Canada, issuing body. |
|---|---|
| Title | Estimating large-dimensional connectedness tables : the great moderation through the lens of sectoral spillovers / by Felix Brunner and Ruben Hipp. |
| Series title | Staff working paper = Document de travail du personnel, 1701-9397 ; 2021-37 |
| Publication type | Series - View Master Record |
| Language | [English] |
| Format | Electronic |
| Electronic document | |
| Note(s) | "Last updated: August 5, 2021." Includes bibliographical references (pages 35-37). |
| Publishing information | Ottawa, Ontario, Canada : Bank of Canada = Banque du Canada, 2021. ©2021 |
| Author / Contributor | Brunner, Felix, author. |
| Description | 1 online resource (iii, 42 pages) : illustrations (chiefly colour). |
| Catalogue number |
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| Subject terms | Business cycles -- United States -- Econometric models. Cycles économiques -- États-Unis -- Modèles économétriques. |
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