The comovement in inventories and in sales: Higher and higher

Ana María Herrera; Irina Murtazashvili; Elena Pesavento

doi:10.1016/j.econlet.2007.06.037

The comovement in inventories and in sales: Higher and higher

Ana María Herrera, Irina Murtazashvili, Elena Pesavento

Economics

Research output: Contribution to journal › Article › peer-review

7 Scopus citations

Abstract

We re-examine changes in the cross-section correlation pattern of sales and inventories using Ng's [Ng, S., 2006, Testing cross-section correlation in panel data using spacings, Journal of Business and Economic Statistics, 24 (1), 12-23] "uniform spacing" method, which permits the estimation of the number of correlated pairs and focuses on the conditional correlations. In contrast to the literature, we find that the correlation of shocks across industries increased after the 'Great Moderation'.

Original language	English
Pages (from-to)	155-158
Number of pages	4
Journal	Economics Letters
Volume	99
Issue number	1
DOIs	https://doi.org/10.1016/j.econlet.2007.06.037
State	Published - Apr 2008

Bibliographical note

Funding Information:
Part of this research was done while Ana María Herrera was visiting Harvard's Kennedy School of Government under a Repsol-YPF research fellowship, and Elena Pesavento was a Jean Monnet Fellow at the European University Institute. We thank the referee for helpful comments and Serena Ng for providing the codes.

Keywords

GDP volatility
Group effects
Variance ratio

ASJC Scopus subject areas

Finance
Economics and Econometrics

Access to Document

10.1016/j.econlet.2007.06.037

Cite this

@article{5568efa00e0f48b99f0beef98d85517e,

title = "The comovement in inventories and in sales: Higher and higher",

abstract = "We re-examine changes in the cross-section correlation pattern of sales and inventories using Ng's [Ng, S., 2006, Testing cross-section correlation in panel data using spacings, Journal of Business and Economic Statistics, 24 (1), 12-23] {"}uniform spacing{"} method, which permits the estimation of the number of correlated pairs and focuses on the conditional correlations. In contrast to the literature, we find that the correlation of shocks across industries increased after the 'Great Moderation'.",

keywords = "GDP volatility, Group effects, Variance ratio",

author = "Herrera, {Ana Mar{\'i}a} and Irina Murtazashvili and Elena Pesavento",

note = "Funding Information: Part of this research was done while Ana Mar{\'i}a Herrera was visiting Harvard's Kennedy School of Government under a Repsol-YPF research fellowship, and Elena Pesavento was a Jean Monnet Fellow at the European University Institute. We thank the referee for helpful comments and Serena Ng for providing the codes.",

year = "2008",

month = apr,

doi = "10.1016/j.econlet.2007.06.037",

language = "English",

volume = "99",

pages = "155--158",

number = "1",

}

TY - JOUR

T1 - The comovement in inventories and in sales

T2 - Higher and higher

AU - Herrera, Ana María

AU - Murtazashvili, Irina

AU - Pesavento, Elena

N1 - Funding Information: Part of this research was done while Ana María Herrera was visiting Harvard's Kennedy School of Government under a Repsol-YPF research fellowship, and Elena Pesavento was a Jean Monnet Fellow at the European University Institute. We thank the referee for helpful comments and Serena Ng for providing the codes.

PY - 2008/4

Y1 - 2008/4

N2 - We re-examine changes in the cross-section correlation pattern of sales and inventories using Ng's [Ng, S., 2006, Testing cross-section correlation in panel data using spacings, Journal of Business and Economic Statistics, 24 (1), 12-23] "uniform spacing" method, which permits the estimation of the number of correlated pairs and focuses on the conditional correlations. In contrast to the literature, we find that the correlation of shocks across industries increased after the 'Great Moderation'.

AB - We re-examine changes in the cross-section correlation pattern of sales and inventories using Ng's [Ng, S., 2006, Testing cross-section correlation in panel data using spacings, Journal of Business and Economic Statistics, 24 (1), 12-23] "uniform spacing" method, which permits the estimation of the number of correlated pairs and focuses on the conditional correlations. In contrast to the literature, we find that the correlation of shocks across industries increased after the 'Great Moderation'.

KW - GDP volatility

KW - Group effects

KW - Variance ratio

UR - http://www.scopus.com/inward/record.url?scp=41049084976&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=41049084976&partnerID=8YFLogxK

U2 - 10.1016/j.econlet.2007.06.037

DO - 10.1016/j.econlet.2007.06.037

M3 - Article

AN - SCOPUS:41049084976

SN - 0165-1765

VL - 99

SP - 155

EP - 158

JO - Economics Letters

JF - Economics Letters

IS - 1

ER -

The comovement in inventories and in sales: Higher and higher

Abstract

Bibliographical note

Keywords

ASJC Scopus subject areas

Access to Document

Other files and links

Fingerprint

Cite this