The co-movement of sectoral outputs in Korea
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The purpose of this paper is to examine the co-movement of sectoral outputs in Korea. We employ Croux, Forni, and Reichlin’s method to estimate dynamic correlations in frequency domain among sectoral outputs. We find that the outputs of manufacturing and service co-move strongly in the short-run as well as in the long-run, but they do not co-move with the output of construction. Consistent with the estimated dynamic correlations, we also find that 20-30% of output fluctuations of manufacturing (service) is explained by spillovers from the service (manufacturing) sector. But, there is no spillover effect between construction and manufacturing (service) sectors. These results suggest that the shock propagation mechanism between manufacturing and service does not work with the construction sector.
Abstract
The purpose of this paper is to examine the co-movement of sectoral outputs in Korea. We employ Croux, Forni, and Reichlin’s method to estimate dynamic correlations in frequency domain among sectoral outputs. We find that the outputs of manufacturing and service co-move strongly in the short-run as well as in the long-run, but they do not co-move with the output of construction. Consistent with the estimated dynamic correlations, we also find that 20-30% of output fluctuations of manufacturing (service) is explained by spillovers from the service (manufacturing) sector. But, there is no spillover effect between construction and manufacturing (service) sectors. These results suggest that the shock propagation mechanism between manufacturing and service does not work with the construction sector.
참고문헌 (17)
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