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Seasonality, Productivity Shocks And Sectoral Comovements In A Business Cycle Model For Italy
BibTeX
@MISC{Cubadda_seasonality,productivity,
author = {Gianluca Cubadda and Giovanni Savio and Roberto Zelli and Prof Gianluca Cubadda},
title = {Seasonality, Productivity Shocks And Sectoral Comovements In A Business Cycle Model For Italy},
year = {}
}
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Abstract
This paper investigates the degree of comovements in quarterly Italian time series of sectoral output. A recently developed multivariate technique for the empirical analysis of long-run, cyclical and seasonal comovements is used in the context of a multisectoral real business cycles model augmented with persistent seasonal shocks in productivity. Our empirical results emphasize the role of input-output relations in the propagation mechanism and indicate that sectoral outputs have a relatively low number of common stochastic trends, in conflict with the hypothesis of independent productivity shocks. In contrast, stochastic seasonals seem to move idiosyncratically. Furthermore, our findings suggest that the theoretical model should be extended to allow for deterministic seasonal shifts in preferences. Keywords: Sectoral comovements; Real business cycles; Seasonality; Serial correlation common feature. JEL Classification: E32; C32. 4 1.
Keyphrases
sectoral comovements productivity shock business cycle model sectoral output persistent seasonal shock common stochastic trend jel classification deterministic seasonal shift serial correlation common feature propagation mechanism empirical analysis seasonal comovements low number quarterly italian time series independent productivity shock multisectoral real business cycle stochastic seasonal input-output relation multivariate technique real business cycle empirical result theoretical model
