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Asymmetric effects of shocks on TFP

Author

Listed:
  • Marcelo Arbex

    (Department of Economics, University of Windsor)

  • Sidney Caetano

    (Department of Economics, Federal University of Juiz de Fora)

  • Michel Souza

    (Department of Economics, Federal University of Minas Gerais)

Abstract

We study the TFP distribution and examine the non-stationarity of productivity series at various quantiles. Using the quantile autoregression unit root test, we find that the US TFP exhibits an asymmetric adjustment dynamics, i.e., positive and negative shocks might have different (permanent or temporary) effects on the TFP. Shocks dissemination depends on the local behavior of the TFP. We find that positive shocks have permanent effects on the TFP, while negative shocks can potentially have only transitory effects.

Suggested Citation

  • Marcelo Arbex & Sidney Caetano & Michel Souza, 2017. "Asymmetric effects of shocks on TFP," Working Papers 1702, University of Windsor, Department of Economics.
    • Handle: RePEc:wis:wpaper:1702
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    References listed on IDEAS

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    Cited by:

    1. Panagiotis Palaios & Evangelia Papapetrou, 2019. "Asymmetric dynamics in the social contributions and social benefits nexus in Greece," Economic Change and Restructuring, Springer, vol. 52(4), pages 327-349, November.

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    More about this item

    Keywords

    TFP; Unit root tests; Quantile autoregression;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • O47 - Economic Development, Innovation, Technological Change, and Growth - - Economic Growth and Aggregate Productivity - - - Empirical Studies of Economic Growth; Aggregate Productivity; Cross-Country Output Convergence

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