Aggregate business failures and macroeconomic conditions: a VAR look at the U.S. between 1980 and 2004
Título del documento: Aggregate business failures and macroeconomic conditions: a VAR look at the U.S. between 1980 and 2004
Revue: Journal of applied economics
Base de datos: CLASE
Número de sistema: 000401690
ISSN: 1667-6726
Autores: 1
1
1
Instituciones: 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
Año:
Periodo: May
Volumen: 16
Número: 1
Paginación: 179-202
País: Argentina
Idioma: Inglés
Tipo de documento: Artículo
Enfoque: Analítico, descriptivo
Resumen en inglés 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
Disciplinas: Economía
Palabras clave: Econometría,
Estados Unidos de América,
Empresas,
Quiebra economica,
Macroeconomía,
Modelos econométricos,
Modelo VAR
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