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Lévy-Stable Productivity Shocks

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  • GAFFEO, EDOARDO

Abstract

In this paper, we analyze the distribution of TFP growth rates at the four-digit sectoral level for the United States. We find that, contrary to the usual assumption employed in the literature on business cycles theory, technological shocks are not normally distributed. Instead, a Lévy-stable distribution with a divergent variance returns a better fit to the data.

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  • Gaffeo, Edoardo, 2008. "Lévy-Stable Productivity Shocks," Macroeconomic Dynamics, Cambridge University Press, vol. 12(3), pages 425-443, June.
    • Handle: RePEc:cup:macdyn:v:12:y:2008:i:03:p:425-443_07
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    Cited by:

    1. Yang, Jangho & Heinrich, Torsten & Winkler, Julian & Lafond, François & Koutroumpis, Pantelis & Farmer, J. Doyne, 2019. "Measuring productivity dispersion: a parametric approach using the Lévy alpha-stable distribution," MPRA Paper 96474, University Library of Munich, Germany.
    2. Gaffeo, Edoardo, 2011. "The distribution of sectoral TFP growth rates: International evidence," Economics Letters, Elsevier, vol. 113(3), pages 252-255.
    3. Yang, Jangho & Heinrich, Torsten & Winkler, Julian & Lafond, François & Koutroumpis, Pantelis & Farmer, J. Doyne, 2019. "Measuring productivity dispersion: a parametric approach using the Lévy alpha-stable distribution," MPRA Paper 96474, University Library of Munich, Germany.

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