A Note on Shock Persistence in Total Factor Productivity Growth

Tapas Mishra, Bazoumana Ouattara and Mamata Parhi

Economics Bulletin, 2011, vol. 31, issue 2, 1869-1893

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.

Keywords: Total factor productivity persistence; stochastic unit root; time varying dependence; Bayesian mechanism; Africa (search for similar items in EconPapers)
JEL-codes: C4 O4 (search for similar items in EconPapers)
Date: 2011-06-25
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