Sectoral versus Aggregate Shocks: A Structural Factor Analysis of Industrial Production
使用因子模型将工业产出分解为总体冲击和部门冲击，发现总体冲击的波动性下降是“大缓和”时期的主要特征，而部门冲击的波动性基本不变，导致部门冲击在1980年代中期后解释了工业产出季度波动的一半。
Using factor methods, we decompose industrial production (IP) into components arising from aggregate and sector-specific shocks. An approximate factor model finds that nearly all of IP variability is associated with common factors. We then use a multisector growth model to adjust for the effects of input-output linkages in the factor analysis. Thus, a structural factor analysis indicates that the Great Moderation was characterized by a fall in the importance of aggregate shocks while the volatility of sectoral shocks was essentially unchanged. Consequently, the role of idiosyncratic shocks increased considerably after the mid-1980s, explaining half of the quarterly variation in IP.