IDEAS home Printed from https://ideas.repec.org/a/taf/apeclt/v25y2018i3p206-210.html
   My bibliography  Save this article

Asymmetric effects of shocks on TFP

Author

Listed:
  • Marcelo Arbex
  • Sidney Caetano
  • Michel Souza

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.

Suggested Citation

  • Marcelo Arbex & Sidney Caetano & Michel Souza, 2018. "Asymmetric effects of shocks on TFP," Applied Economics Letters, Taylor & Francis Journals, vol. 25(3), pages 206-210, February.
    • Handle: RePEc:taf:apeclt:v:25:y:2018:i:3:p:206-210
    DOI: 10.1080/13504851.2017.1310990
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/13504851.2017.1310990
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/13504851.2017.1310990?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to look for a different version below or search for a different version of it.

    Other versions of this item:

    References listed on IDEAS

    as
    1. Heathcote, Jonathan & Perri, Fabrizio, 2002. "Financial autarky and international business cycles," Journal of Monetary Economics, Elsevier, vol. 49(3), pages 601-627, April.
    2. Nam, Deokwoo & Wang, Jian, 2015. "The effects of surprise and anticipated technology changes on international relative prices and trade," Journal of International Economics, Elsevier, vol. 97(1), pages 162-177.
    3. Galvao Jr., Antonio F., 2009. "Unit root quantile autoregression testing using covariates," Journal of Econometrics, Elsevier, vol. 152(2), pages 165-178, October.
    4. Daniel Fuentes Castro, 2013. "An international comparison of the impact of the 2008 crisis on productivity," Applied Economics Letters, Taylor & Francis Journals, vol. 20(13), pages 1263-1269, September.
    5. Paul Beaudry & Bernd Lucke, 2010. "Letting Different Views about Business Cycles Compete," NBER Chapters, in: NBER Macroeconomics Annual 2009, Volume 24, pages 413-455, National Bureau of Economic Research, Inc.
    6. Stephanie Schmitt-Grohe & Martin Uribe, 2011. "Business Cycles With A Common Trend in Neutral and Investment-Specific Productivity," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 14(1), pages 122-135, January.
    7. Hosseinkouchack, Mehdi & Wolters, Maik H., 2013. "Do large recessions reduce output permanently?," Economics Letters, Elsevier, vol. 121(3), pages 516-519.
    8. Cogley, Timothy & Nason, James M, 1995. "Output Dynamics in Real-Business-Cycle Models," American Economic Review, American Economic Association, vol. 85(3), pages 492-511, June.
    9. Rabanal, Pau & Rubio-Ramírez, Juan F. & Tuesta, Vicente, 2011. "Cointegrated TFP processes and international business cycles," Journal of Monetary Economics, Elsevier, vol. 58(2), pages 156-171, March.
    10. King, Robert G. & Plosser, Charles I. & Rebelo, Sergio T., 1988. "Production, growth and business cycles : II. New directions," Journal of Monetary Economics, Elsevier, vol. 21(2-3), pages 309-341.
    11. Kydland, Finn E & Prescott, Edward C, 1982. "Time to Build and Aggregate Fluctuations," Econometrica, Econometric Society, vol. 50(6), pages 1345-1370, November.
    12. Roger Koenker & Zhijie Xiao, 2004. "Unit Root Quantile Autoregression Inference," Journal of the American Statistical Association, American Statistical Association, vol. 99, pages 775-787, January.
    13. Rotemberg, Julio J & Woodford, Michael, 1996. "Real-Business-Cycle Models and the Forecastable Movements in Output, Hours, and Consumption," American Economic Review, American Economic Association, vol. 86(1), pages 71-89, March.
    14. Serena Ng & Pierre Perron, 2001. "LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power," Econometrica, Econometric Society, vol. 69(6), pages 1519-1554, November.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Panagiotis Palaios & Evangelia Papapetrou, 2019. "Asymmetric dynamics in the social contributions and social benefits nexus in Greece," Economic Change and Restructuring, Springer, vol. 52(4), pages 327-349, November.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Stephanie Schmitt-Grohe & Martin Uribe, 2011. "Business Cycles With A Common Trend in Neutral and Investment-Specific Productivity," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 14(1), pages 122-135, January.
    2. Stephanie Schmitt-Grohe, 2000. "Endogenous Business Cycles and the Dynamics of Output, Hours, and Consumption," American Economic Review, American Economic Association, vol. 90(5), pages 1136-1159, December.
    3. Smith, Gregor W. & Zin, Stanley E., 1997. "Real business-cycle realizations," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 47(1), pages 243-280, December.
    4. Otrok, Christopher, 2001. "On measuring the welfare cost of business cycles," Journal of Monetary Economics, Elsevier, vol. 47(1), pages 61-92, February.
    5. de Oliveira, Guilherme, 2023. "On the utilization controversy in the demand-led growth literature: A quantile unit root approach," Economic Modelling, Elsevier, vol. 126(C).
    6. Yi Wen, 2005. "By force of demand: explaining international comovements and the saving-investment correlation puzzle," Working Papers 2005-043, Federal Reserve Bank of St. Louis.
    7. Cogley, Timothy, 2001. "Alternative definitions of the business cycle and their implications for business cycle models: A reply to Torben Mark Pederson," Journal of Economic Dynamics and Control, Elsevier, vol. 25(8), pages 1103-1107, August.
    8. Wen, Yi, 2007. "By force of demand: Explaining international comovements," Journal of Economic Dynamics and Control, Elsevier, vol. 31(1), pages 1-23, January.
    9. Bruno Coric & Blanka Peric Skrabic, 2020. "Income Tax Evasion: Recovery from Economic Disasters," CERGE-EI Working Papers wp676, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
    10. Rabanal, Pau & Rubio-Ramírez, Juan F., 2015. "Can international macroeconomic models explain low-frequency movements of real exchange rates?," Journal of International Economics, Elsevier, vol. 96(1), pages 199-211.
    11. Alison Butler & Michael R. Pakko, 1998. "R&D spending and cyclical fluctuations: putting the \"technology\" in technology shocks," Working Papers 1998-020, Federal Reserve Bank of St. Louis.
    12. M.S.Rafiq, 2006. "Business Cycle Moderation - Good Policies or Good Luck: Evidence and Explanations for the Euro Area," Discussion Paper Series 2006_21, Department of Economics, Loughborough University.
    13. Ireland, Peter N., 2004. "A method for taking models to the data," Journal of Economic Dynamics and Control, Elsevier, vol. 28(6), pages 1205-1226, March.
    14. Christian Calmès, 2005. "Self-Enforcing Labour Contracts and the Dynamics Puzzle," Staff Working Papers 05-1, Bank of Canada.
    15. Simon Gilchrist & John C. Williams, 2000. "Putty-Clay and Investment: A Business Cycle Analysis," Journal of Political Economy, University of Chicago Press, vol. 108(5), pages 928-960, October.
    16. Fuhrer, Jeffrey C., 1997. "Towards a compact, empirically-verified rational expectations model for monetary policy analysis," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 47(1), pages 197-230, December.
    17. Ricardo Reis & Vasco Curdia, 2009. "Correlated Disturbances and U.S. Business Cycles," 2009 Meeting Papers 129, Society for Economic Dynamics.
    18. Andrei Polbin & Sergey Drobyshevsky, 2014. "Developing a Dynamic Stochastic Model of General Equilibrium for the Russian Economy," Research Paper Series, Gaidar Institute for Economic Policy, issue 166P, pages 156-156.
    19. Boileau, Martin & Normandin, Michel, 2003. "Labor hoarding, superior information, and business cycle dynamics," Journal of Economic Dynamics and Control, Elsevier, vol. 28(2), pages 397-418, November.
    20. Pancrazi, Roberto & Vukotic, Marija, 2012. "Technology Persistence and Monetary Policy," Economic Research Papers 270536, University of Warwick - Department of Economics.

    More about this item

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • O47 - Economic Development, Innovation, Technological Change, and Growth - - Economic Growth and Aggregate Productivity - - - Empirical Studies of Economic Growth; Aggregate Productivity; Cross-Country Output Convergence

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:apeclt:v:25:y:2018:i:3:p:206-210. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/RAEL20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.