Document Type masters report Author Name Dutta Bordoloi, Suwodi URN etd-102809-101445 Title Interdependence of US Industry Sectors Using Vector Autoregression Degree MS Department Mathematical Sciences Advisors Wanli Zhao, Advisor Domokos Vermes, Advisor Keywords VAR Interdependence Date of Presentation/Defense 2009-12-04 Availability unrestricted
In this study, we explore the interdependence among different US industries by examining their correlations of the stock portfolios. Furthermore, we focus on the dynamics of their interdependent relations during peaceful and volatile periods; as such relations may change due to different sensitivities of each industry to the macroeconomic conditions. More specifically, we apply Vector Autoregression (VAR) methodology on the US industry portfolios and we use variance decomposition and generalized impulse response functions to identify the strength of the impact of each industry on the others.
Based on different portfolio returns of the US industries during 1962 to 2008, we find if the pattern of the dynamic relations of the industries change in different periods. We also deduce the most influential and sensitive sectors in the US domestic market. In addition, we find the direction, strength and durability of the shocks using generalized impulse response function (GIRF).
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