The comovement in inventories and in sales: Higher and higher

Ana María Herrera, Irina Murtazashvili, Elena Pesavento

Research output: Contribution to journalArticlepeer-review

7 Scopus citations


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 languageEnglish
Pages (from-to)155-158
Number of pages4
JournalEconomics Letters
Issue number1
StatePublished - 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.


  • GDP volatility
  • Group effects
  • Variance ratio

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics


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