Asymmetric effects of shocks on TFP

Marcelo Arbex, Sidney Caetano and Michel de Souza

Applied Economics Letters, 2018, vol. 25, issue 3, 206-210

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, that is, positive and negative shocks might have different (permanent or temporary) effects on the TFP. Shocks dissemination depends on the local behaviour of the TFP. We find that positive shocks have permanent effects on the TFP, while negative shocks can potentially have only transitory effects.

Date: 2018
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DOI: 10.1080/13504851.2017.1310990

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