Trends and Cycles in Labour Productivity in the Major OECD Countries
This paper uses a multivariate generalization of the Beveridge and Nelson methodology to model trends and cycles of business sector labour productivity in the major OECD countries. The method implies that the trend is the long-run forecast of productivity, given all available information; the cycle is thus interpreted as the total excess growth that would be forecasted beyond `normal' rates of productivity (see Evans and Reichlin (1993a)). Multivariate trends in productivity were estimated including series that Granger-cause and possibly are cointegrated with productivity. The corresponding cycles were compared with those generated by the Hodrick-Prescott filter and with the business cycle data of the OECD. The stability and predictive properties of the Beveridge-Nelson and Hodrick-Prescott trends were compared. Finally, the estimated productivity gaps were used as proxies for capacity utilization in economic models of price formation in order to assess their empirical validity. The sample period considered is 1960-92 and data are quarterly.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
|Date of creation:||Jul 1993|
|Contact details of provider:|| Postal: Centre for Economic Policy Research, 77 Bastwick Street, London EC1V 3PZ.|
Phone: 44 - 20 - 7183 8801
Fax: 44 - 20 - 7183 8820
|Order Information:|| Email: |