摘要翻译：
本文对2000年2月14日至2008年8月31日之间的十个道琼斯美国经济部门指数的时间序列进行了比较分割和聚类分析。从聚类区间的时间分布来看，美国经济从1998年年中到2003年年中的金融危机中恢复过来用了一年半的时间，而完全进入目前的金融危机仅用了两个月的时间。我们还发现，石油天然气和基础材料行业引领了从上次金融危机中的复苏，而消费品和公用事业行业则引领了此次金融危机的下降。在宏观层面上，我们发现，较早陷入危机的部门出现得较晚，而较晚陷入危机的部门出现得较早。在中观层面上，我们发现领先板块经历了更强和更长的波动性冲击，而尾随板块经历了更弱和更短的波动性冲击。在我们逐冲击的因果联系分析中，我们还发现在更密切相关的经济部门中，相应的冲击之间的延迟更短。此外，我们的分析揭示了复杂部门结构的证据，以及波动冲击传播中的非线性放大。从与公共政策相关的角度来看，我们的研究表明，2003年年中经济复苏期间存在一种内部部门动态，与2007年年中美联储降息的强劲外部驱动形成鲜明对比。最有趣的是，我们发现在2007/2008年的紧密间隔降息序列中，前几次降息有效地降低了市场波动，而后几次降息则反有效地增加了市场波动。随后的削减几乎没有引起市场的反应。
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英文标题：
《Causal Links Between US Economic Sectors》
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作者：
Gladys Hui Ting Lee, Yiting Zhang, Jian Cheng Wong, Manamohan Prusty,
  Siew Ann Cheong
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最新提交年份：
2011
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：General Finance        一般财务
分类描述：Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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一级分类：Quantitative Finance        数量金融学
二级分类：Statistical Finance        统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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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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PDF链接：
https://arxiv.org/pdf/0911.4763