IDEAS home Printed from https://ideas.repec.org/a/fip/fednci/y2006inovnv.12no.8.html
   My bibliography  Save this article

Tracking productivity in real time

Author

Listed:
  • James A. Kahn
  • Robert W. Rich

Abstract

Because volatile short-term movements in productivity growth obscure the underlying trend, shifts in this trend may go unrecognized for years - a lag that can lead to policy mistakes and hence economic instability. This study develops a model for tracking productivity that brings in additional variables to help reveal the trend. The model's success is evident in its ability to detect changes in trend productivity within a year or two of their occurrence. Currently, the model indicates that the underlying trend remains strong despite recent weak productivity data.

Suggested Citation

  • James A. Kahn & Robert W. Rich, 2006. "Tracking productivity in real time," Current Issues in Economics and Finance, Federal Reserve Bank of New York, vol. 12(Nov).
  • Handle: RePEc:fip:fednci:y:2006:i:nov:n:v.12no.8
    as

    Download full text from publisher

    File URL: https://www.newyorkfed.org/medialibrary/media/research/current_issues/ci12-8.pdf
    Download Restriction: no

    File URL: https://www.newyorkfed.org/medialibrary/media/research/current_issues/ci12-8.html
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Hamilton, James D., 1988. "Rational-expectations econometric analysis of changes in regime : An investigation of the term structure of interest rates," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 385-423.
    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. Oliner, Stephen D. & Sichel, Daniel E. & Stiroh, Kevin J., 2008. "Explaining a productive decade," Journal of Policy Modeling, Elsevier, vol. 30(4), pages 633-673.
    2. Christian Weller & Luke Reidenbach, 2011. "On Uneven Ground," Challenge, Taylor & Francis Journals, vol. 54(3), pages 5-37.

    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. Elyasiani, Elyas & Mansur, Iqbal & Pagano, Michael S., 2007. "Convergence and risk-return linkages across financial service firms," Journal of Banking & Finance, Elsevier, vol. 31(4), pages 1167-1190, April.
    2. Alain Monfort & Jean-Paul Renne, 2013. "Default, Liquidity, and Crises: an Econometric Framework," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 11(2), pages 221-262, March.
    3. Jacobson Tor & Lindh Thomas & Warne Anders, 2002. "Growth, Saving, Financial Markets, and Markov Switching Regimes," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 5(4), pages 1-20, January.
    4. Garcia, Rene, 1998. "Asymptotic Null Distribution of the Likelihood Ratio Test in Markov Switching Models," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(3), pages 763-788, August.
    5. John R. Freeman & Jude C. Hays & Helmut Stix, 1999. "Democracy and Markets: The Case of Exchange Rates," Working Papers 39, Oesterreichische Nationalbank (Austrian Central Bank).
    6. Engel, Charles, 1994. "Can the Markov switching model forecast exchange rates?," Journal of International Economics, Elsevier, vol. 36(1-2), pages 151-165, February.
    7. Liu, Wen-Hsien & Chyi, Yih-Luan, 2006. "A Markov regime-switching model for the semiconductor industry cycles," Economic Modelling, Elsevier, vol. 23(4), pages 569-578, July.
    8. Bertrand Candelon & Elena-Ivona Dumitrescu & Christophe Hurlin, 2012. "How to Evaluate an Early-Warning System: Toward a Unified Statistical Framework for Assessing Financial Crises Forecasting Methods," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 60(1), pages 75-113, April.
    9. Timmermann, Allan, 2000. "Moments of Markov switching models," Journal of Econometrics, Elsevier, vol. 96(1), pages 75-111, May.
    10. Vassilios Babalos & Mehmet Balcilar & Rangan Gupta, 2014. "Revisiting Herding Behavior in REITs: A Regime-Switching Approach," Working Papers 201448, University of Pretoria, Department of Economics.
    11. Wilfling, Bernd, 2009. "Volatility regime-switching in European exchange rates prior to monetary unification," Journal of International Money and Finance, Elsevier, vol. 28(2), pages 240-270, March.
    12. Hansen, Peter Reinhard, 2003. "Structural changes in the cointegrated vector autoregressive model," Journal of Econometrics, Elsevier, vol. 114(2), pages 261-295, June.
    13. Dominique Guegan, 2005. "How can we Define the Concept of Long Memory? An Econometric Survey," Econometric Reviews, Taylor & Francis Journals, vol. 24(2), pages 113-149.
    14. Charles Engel & James D. Hamilton, 1989. "Long Swings in the Exchange Rate: Are they in the Data and Do Markets Know It?," NBER Working Papers 3165, National Bureau of Economic Research, Inc.
    15. Tillmann, Peter, 2007. "Inflation regimes in the US term structure of interest rates," Economic Modelling, Elsevier, vol. 24(2), pages 203-223, March.
    16. Yoosoon Chang & Junior Maih & Fei Tan, 2018. "State Space Models with Endogenous Regime Switching," Working Papers No 9/2018, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
    17. Fushing Hsieh & Emilio Ferrer & Shu-Chun Chen & Sy-Miin Chow, 2010. "Exploring the Dynamics of Dyadic Interactions via Hierarchical Segmentation," Psychometrika, Springer;The Psychometric Society, vol. 75(2), pages 351-372, June.
    18. Richard H. Clarida & Lucio Sarno & Mark P. Taylor & Giorgio Valente, 2006. "The Role of Asymmetries and Regime Shifts in the Term Structure of Interest Rates," The Journal of Business, University of Chicago Press, vol. 79(3), pages 1193-1224, May.
    19. Lanouar Charfeddine & Dominique Guegan, 2008. "Is it possible to discriminate between different switching regressions models? An empirical investigation," PSE-Ecole d'économie de Paris (Postprint) halshs-00368358, HAL.

    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:fip:fednci:y:2006:i:nov:n:v.12no.8. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: . General contact details of provider: https://edirc.repec.org/data/frbnyus.html .

    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: (email available below). General contact details of provider: https://edirc.repec.org/data/frbnyus.html .

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

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.