Sectoral uncertainty / by Efrem Castelnuovo, Kerem Tuzcuoglu and Luis Uzeda.: FB3-5/2022-38E-PDF
"We propose a new empirical framework that jointly decomposes the conditional variance of economic time series into a common and a sector-specific uncertainty component. We apply our framework to a large dataset of disaggregated industrial production series for the US economy"--Abstract.
Permanent link to this Catalogue record:
publications.gc.ca/pub?id=9.915851&sl=0
| Department/Agency | Bank of Canada, issuing body. |
|---|---|
| Title | Sectoral uncertainty / by Efrem Castelnuovo, Kerem Tuzcuoglu and Luis Uzeda. |
| Series title | Staff working paper = Document de travail du personnel, 1701-9397 ; 2022-38 |
| Publication type | Series - View Master Record |
| Language | [English] |
| Format | Electronic |
| Electronic document | |
| Note(s) | "Last updated: September 9, 2022." Includes bibliographical references. Includes abstract in French. |
| Publishing information | [Ottawa] : Bank of Canada = Banque du Canada, 2022. ©2022 |
| Author / Contributor | Castelnuovo, Efrem, author. |
| Description | 1 online resource (ii, 32 pages) : charts. |
| Catalogue number |
|
| Subject terms | Rational expectations (Economic theory) -- Canada -- Econometric models. Anticipations rationnelles (Théorie économique) -- Canada -- Modèles économétriques. |
Request alternate formats
To request an alternate format of a publication, complete the Government of Canada Publications email form. Use the form’s “question or comment” field to specify the requested publication.- Date modified: