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• W2291088782 abstract "ABSTRACTSectoral comovement accounts for a considerable share of the variance of aggregate variables. However, little is known about its time-varying aspects by now. In this article, a multivariate DCC- GARCH framework is employed to study dynamics of sectoral comovement across manufacturing sectors both in the United States and in Germany. To account for possible nonlinearities, asymmetric effects in conditional volatilities as well as in conditional correlations are being assessed. We find that comovement across sectors is not stable but shows irregular movements. Particularly, contractions tend to be more synchronized than expansions in manufacturing sector. Moreover, we examine the role of various aggregate factors for the fluctuations in conditional correlations. Our findings reveal that both the non-constant variability of common factors and the changes in the effects of these factors play role for the fluctuations in sectoral comovement." @default.
• W2291088782 created "2016-06-24" @default.
• W2291088782 creator A5089810538 @default.
• W2291088782 date "2017-02-28" @default.
• W2291088782 modified "2023-09-23" @default.
• W2291088782 title "Dynamics of sectoral business cycle comovement" @default.
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• W2291088782 doi "https://doi.org/10.3929/ethz-a-010570012" @default.
• W2291088782 hasPublicationYear "2017" @default.
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