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Differences in Quarterly Utilization-Adjusted TFP by Vintage, with an Application to News Shocks

Listed author(s):
  • Eric R. Sims

This paper documents large differences across vintages in the properties of the widely-used quarterly utilization-adjusted TFP series produced by Fernald (2014), who provides updated data each quarter on his website. The most recent vintage of the adjusted TFP series has correlations with earlier vintages of the series that are less than 0.6. Compared to earlier vintages, the most recent vintage of the adjusted TFP data is more weakly correlated with output and more strongly negatively correlated with hours worked. I revisit the empirical analysis from Barsky and Sims (2011), who use an earlier vintage of Fernald's adjusted TFP data to identify impulse responses to news shocks about future productivity in a structural VAR. The vintage of adjusted TFP data matters for their estimated impulse responses, and in some specifications the differences using the most recent vintage of the adjusted TFP data are qualitatively large in a way that is more favorable to theories of news-driven business cycles.

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File URL: http://www.nber.org/papers/w22154.pdf
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Paper provided by National Bureau of Economic Research, Inc in its series NBER Working Papers with number 22154.

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Date of creation: Apr 2016
Handle: RePEc:nbr:nberwo:22154
Note: EFG ME
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  1. ., 2013. "The Japanese construction sector," Chapters,in: Cartels, Competition and Public Procurement, chapter 10, pages 178-211 Edward Elgar Publishing.
  2. Andr? Kurmann & Elmar Mertens, 2014. "Stock Prices, News, and Economic Fluctuations: Comment," American Economic Review, American Economic Association, vol. 104(4), pages 1439-1445, April.
  3. Paul Beaudry & Franck Portier, 2014. "News-Driven Business Cycles: Insights and Challenges," Journal of Economic Literature, American Economic Association, vol. 52(4), pages 993-1074, December.
  4. Andr? Kurmann & Christopher Otrok, 2013. "News Shocks and the Slope of the Term Structure of Interest Rates," American Economic Review, American Economic Association, vol. 103(6), pages 2612-2632, October.
  5. ., 2013. "Special sectors," Chapters,in: Islamic Finance, chapter 6, pages 128-155 Edward Elgar Publishing.
  6. Kydland, Finn E & Prescott, Edward C, 1982. "Time to Build and Aggregate Fluctuations," Econometrica, Econometric Society, vol. 50(6), pages 1345-1370, November.
  7. Anonymous & TomiǬ Danilo & PopoviǬ Vesna, 2013. "Agri-food Sector in Serbia: State and Challenges," Monographs, Serbian Association of Agricultural Economists, number 156338.
  8. Eric R. Sims, 2012. "News, Non-Invertibility, and Structural VARs," Working Papers 013, University of Notre Dame, Department of Economics, revised Jun 2012.
  9. Andrei A. Levchenko & Nitya Pandalai-Nayar, 2015. "TFP, News, and 'Sentiments': The International Transmission of Business Cycles," Working Papers 640, Research Seminar in International Economics, University of Michigan.
  10. Burnside, Craig & Eichenbaum, Martin & Rebelo, Sergio, 1993. "Labor Hoarding and the Business Cycle," Journal of Political Economy, University of Chicago Press, vol. 101(2), pages 245-273, April.
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