US经济部门之间的因果关系
Causal Links Between US Economic Sectors
摘要：
在本文中，我们进行了比较分割和聚类分析的时间序列的10个道琼斯美国经济行业指数在2000年2月14日和2008年8月31日。从聚类区间的时间分布来看，美国经济从1998年中期到2003年中期经历了一年半的金融危机，但从完全进入当前的金融危机，到完全复苏，只用了两个月的时间。我们还发现，石油和天然气以及基础材料行业引领了上一次金融危机的复苏，而消费品和公用事业行业则引领了本轮金融危机的衰退。在宏观层面上，我们发现较早进入危机的部门较晚摆脱危机，而较晚进入危机的部门较早摆脱危机。在中观层面上，我们发现领先行业经历了更强和更长的波动冲击，而尾随行业经历了更弱和更短的波动冲击。在我们对冲击的因果关系分析中，我们还发现，在更密切相关的经济部门，相应的冲击之间的延迟更短。此外，我们的分析揭示了复杂的部门结构的证据，以及在传播波动性冲击的非线性放大。从相关的公共政策的角度来看，我们的研究表明，在2003年中期的经济复苏的内生部门的动态，在2007年中期开始的美联储降息强烈的外生驱动。最有趣的是，我们发现，在2007/2008年实施的一系列密集降息中，前几次降息有效地降低了市场波动率，而接下来的几次降息则有效地增加了市场波动率。随后的降息几乎没有引起市场的反应。
英文摘要：
In this paper, we perform a comparative segmentation and clustering analysis of the time series for the ten Dow Jones US economic sector indices between 14 February 2000 and 31 August 2008. From the temporal distributions of clustered segments, we find that the US economy took one and a half years to recover from the mid-1998-to-mid-2003 financial crisis, but only two months to completely enter the present financial crisis. We also find the oil & gas and basic materials sectors leading the recovery from the previous financial crisis, while the consumer goods and utilities sectors led the descent into the present financial crisis. On a macroscopic level, we find sectors going earlier into a crisis emerge later from it, whereas sectors going later into the crisis emerge earlier. On the mesoscopic level, we find leading sectors experiencing stronger and longer volatility shocks, while trailing sectors experience weaker and shorter volatility shocks. In our shock-by-shock causal-link analysis, we also find shorter delays between corresponding shocks in more closely related economic sectors. In addition, our analysis reveals evidences for complex sectorial structures, as well as nonlinear amplification in the propagating volatility shocks. From a perspective relevant to public policy, our study suggests an endogeneous sectorial dynamics during the mid-2003 economic recovery, in contrast to strong exogeneous driving by Federal Reserve interest rate cuts during the mid-2007 onset. Most interestingly, we find for the sequence of closely spaced interest rate cuts instituted in 2007/2008, the first few cuts effectively lowered market volatilities, while the next few cuts counter-effectively increased market volatilities. Subsequent cuts evoked little response from the market.
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