Aggregate business failures and macroeconomic conditions: a VAR look at the U.S. between 1980 and 2004
Document title: Aggregate business failures and macroeconomic conditions: a VAR look at the U.S. between 1980 and 2004
Journal: Journal of applied economics
Database: CLASE
System number: 000401690
ISSN: 1667-6726
Authors: 1
1
1
Institutions: 1Southwestern University of Finance and Economics, Research Institute of Economics and Management, Chengdu, Sichuan. China
2Texas A&M University, Department of Agricultural Economics, College Station, Texas. Estados Unidos de América
Year:
Season: May
Volumen: 16
Number: 1
Pages: 179-202
Country: Argentina
Language: Inglés
Document type: Artículo
Approach: Analítico, descriptivo
English abstract In this paper, we study the U.S. aggregate business failures during 1980- 2004 in relation to four macroeconomic variables: aggregate corporate profits, the producer price index, the interest rate, and stock market performance. We argue that aggregate business failures should not be treated as a passive variable, as usually done in previous studies, and we allow its possible causal effect on other macroeconomic variables through a Structural Vector Autoregression model that builds on Directed Acyclic Graphs. Granger type causality and innovation accounting results both show that while subject to the influence of interest rates, aggregate business failures are quite exogenous in comparison to the other three variables. The implications of these findings are discussed as well
Disciplines: Economía
Keyword: Econometría,
Estados Unidos de América,
Empresas,
Quiebra economica,
Macroeconomía,
Modelos econométricos,
Modelo VAR
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