Tracking Canadian Trend Productivity: A Dynamic Factor Model with Markov Switching

Michael Dolega

Discussion Papers from Bank of Canada

Abstract: The author attempts to track Canadian labour productivity over the past four decades using a multivariate dynamic factor model that, in addition to the labour productivity series, includes aggregate compensation and consumption information. Productivity is assumed to switch between two regimes (the high-growth state and the low-growth state) with different trend growth rates according to a first-order Markov process. The author finds that labour productivity in Canada fell from the high-growth to the low-growth state towards the end of the 1970s, and that it has not yet reverted to the high-growth state. In particular, the model primarily attributes the resurgence of labour productivity growth in the late nineties to transitory effects.

Keywords: Productivity (search for similar items in EconPapers)
JEL-codes: C32 O4 O51 (search for similar items in EconPapers)
Pages: 32 pages
Date: 2007
New Economics Papers: this item is included in nep-bec, nep-eff and nep-lab
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Citations: View citations in EconPapers (7)

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Persistent link: https://EconPapers.repec.org/RePEc:bca:bocadp:07-12

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