Asymmetric effects of shocks on TFP

Marcelo Arbex, Sidney Caetano and Michel de Souza

No 1702, Working Papers from University of Windsor, Department of Economics

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.

Keywords: TFP; Unit root tests; Quantile autoregression (search for similar items in EconPapers)
JEL-codes: C22 E32 O47 (search for similar items in EconPapers)
Pages: 7 pages
Date: 2017-03
New Economics Papers: this item is included in nep-eff and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://web2.uwindsor.ca/economics/RePEc/wis/pdf/1702.pdf First version, 2017 (application/pdf)

Related works:
Journal Article: Asymmetric effects of shocks on TFP (2018)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wis:wpaper:1702

Access Statistics for this paper

More papers in Working Papers from University of Windsor, Department of Economics Contact information at EDIRC.
Bibliographic data for series maintained by Christian Trudeau ().