Trends and Cycles in Labour Productivity in the Major OECD Countries

This paper uses a multivariate generalisation of the Beveridge and Nelson methodology to model trends and cycles of business-sector labour productivity in the major OECD countries. The method implies that the trend is the long-term forecast of productivity, given all available information; the cycle is thus interpreted as the total excess growth that one would forecast beyond "normal" rates of productivity (see Evans and Reichlin, 1992). Multivariate trends in productivity were estimated including series that Granger-cause and, possibly, are cointegrated with productivity. The corresponding cycles were compared with those generated by the Hodrick-Prescott filter and with the business-cycle dating of the OECD. The stability and predictive properties of the Beveridge-Nelson and Hodrick-Prescott trends were compared. Finally, the estimated productivity gaps were used as proxies for capacity utilisation in econometric models of price formation in order to assess their empirical ... Cette tude utilise une gnralisation au cas multivari de la mthodologie propose par Beveridge et Nelson pour modliser les tendances de la productivit du travail dans le secteur des entreprises des principaux pays de l'OCDE. Selon cette mthode, la tendance est la prvision de long terme de la productivit, tant donn l'information disponible chaque priode. Il s'ensuit que le cycle est interprt comme la somme des taux de croissance attendus de la productivit qui excdent le taux de croissance "normal" (Evans et Reichlin, 1992). Les tendances multivaries de la productivit ont t estimes en incluant dans le modle des sries qui causent la productivit, au sens de Granger, et qui sont, si possible, co-intgres avec celle-ci. Les cycles correspondants ont t compars ceux estims selon la mthodologie de Hodrick et Prescott ainsi qu' la priodisation des cycles propose par l'OCDE. Une comparaison a t aussi effectue entre la stabilit et les proprits de ...