An Analysis of Austrian Output Growth at a Sectoral Level

Rünstler, Gerhard (July 1993) An Analysis of Austrian Output Growth at a Sectoral Level. Former Series > Forschungsberichte / Research Memoranda 327


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Summary: Recently, Pesaran, Pierse & Lee (1992) argued that estimation of aggregate output persistence may be more accurate when based on disaggregated data. They proposed a multisectoral approach based on a VAR of sectoral output growth. This work applies their methodology to Austrian output data with particular emphasis on the long-run impact of foreign shocks. I compare persistence estimates based on a VAR-model of sectoral output growth rates with those obtained from univariate ARIMA modelsof aggregate output. Furthermore sectoral response to innovations in several exogenous variables is estimated. Innovations in European OECD GNP appear to have high persistence, whereas long-run influence of 3-month interest is not significant. Persistence estimates differ remarkably across sectors in accordance with informal characterizations of sectoral response. Influence of oil price and exchange rate innovations is statistically insignificant.;

Item Type: IHS Series
Date Deposited: 26 Sep 2014 10:35
Last Modified: 01 Apr 2016 14:09

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