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Total factor productivity and the propagation of shocks: Empirical evidence and implications for the business cycle

Eric Mayer (), Sebastian Rüth () and Johann Scharler

Journal of Macroeconomics, 2016, vol. 50, issue C, 335-346

Abstract: Using a robust sign restrictions approach, we study the response of total factor productivity (TFP) to structural shocks in a VAR framework. We find that TFP increases in response to adverse supply, demand, and wage mark-up shocks. Results for monetary policy shocks are insignificant. Following an adverse technology shock and reductions in government spending, TFP declines. Overall, we conclude that TFP fluctuates endogenously over the business cycle, a feature of the data that is not present in standard DSGE models.

Keywords: TFP; Robust sign restrictions; Business cycle (search for similar items in EconPapers)
JEL-codes: E24 E32 E40 (search for similar items in EconPapers)
Date: 2016
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Related works:
Working Paper: Total Factor Productivity and the Propagation of Shocks; Empirical Evidence and Implications for the Business Cycle (2014) Downloads
Working Paper: Total factor productivity and the propagation of shocks: Empirical evidence and implications for the business cycle (2014) Downloads
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