Footnote:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments February 28, 2023 erstellt
Description:
We investigate economic fluctuations in 16 regions of Korea by decomposing them into national common and cluster factors using an endogenously clustered dynamic factor model. Each factor is extracted using regional economic activity variables (output, consumption, and investment), and clusters are endogenously determined based on the characteristics of the regions and economic activities. Our results show that the estimated common factor captures the dynamics of national real GDP and private consumption growth. We find that consumption, investment activities, and investment volatility are statistically significant determinants of the cluster factors. Our variance decomposition analysis shows that the contribution of a common factor to the fluctuations in output and consumption is the largest. Investments are driven mainly by region-specific factors. In addition, we find that regions with high investment volatility that are sensitive to the investment cycle are significantly affected by cluster factors. Finally, cluster factors driven mainly by consumption activity are affected by government consumption surprises and news shocks