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A Note on Shock Persistence in Total Factor Productivity Growth

Author

Listed:
  • Tapas Mishra

    (Department of Economics, Swansea University, UK)

  • Bazoumana Ouattara

    (Department of Economics, Swansea University, UK)

  • Mamata Parhi

    (WISERD and Department of Economics, Swansea University, UK)

Abstract

We study implications of persistence of shocks in total factor productivity (TFP) growth under Bayesian framework for a set of African countries over the period 1970-2003. Contrary to convention, we find that stochastic unit root is present for most of the African countries and that there is time-varying dependence structure in the underlying processes. The implication of our finding is that the persistence process governing TFP series is non-linear, stationary for some period and (mildly) explosive for others pointing to the fact that linear policy rules to counteract stochastic shocks in TFP may not prove useful. The repeat of TFP cycles is traced to this behaviour.

Suggested Citation

  • Tapas Mishra & Bazoumana Ouattara & Mamata Parhi, 2011. "A Note on Shock Persistence in Total Factor Productivity Growth," Economics Bulletin, AccessEcon, vol. 31(2), pages 1869-1893.
    • Handle: RePEc:ebl:ecbull:eb-10-00752
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    Total factor productivity persistence; stochastic unit root; time varying dependence; Bayesian mechanism; Africa;
    All these keywords.

    JEL classification:

    • O4 - Economic Development, Innovation, Technological Change, and Growth - - Economic Growth and Aggregate Productivity
    • C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics

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