文章基本信息

标题：Aggregate Business Failures and Macroeconomic Conditions: A Var Look at the U.S. Between 1980 and 2004
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作者：Jin Zhang ; David A. Bessler ; David J. Leatham 等
期刊名称：Journal of Applied Economics
印刷版ISSN：1514-0326
电子版ISSN：1667-6726
出版年度：2013
卷号：16
期号：1
页码：179-202
DOI：10.1016/S1514-0326(13)60008-2
摘要：In this paper, we study the U.S. aggregate business failures during 1980- 2004 in relation to four macroeconomic variables: aggregate corporate profits, the producer price index, the interest rate, and stock market performance. We argue that aggregate business failures should not be treated as a passive variable, as usually done in previous studies, and we allow its possible causal effect on other macroeconomic variables through a Structural Vector Autoregression model that builds on Directed Acyclic Graphs. Granger type causality and innovation accounting results both show that while subject to the influence of interest rates, aggregate business failures are quite exogenous in comparison to the other three variables. The implications of these findings are discussed as well.
关键词：C32 ; E51 ; G33 ; business failures ; macroeconomic conditions ; directed acyclic graphs ; vector autoregression