REVISIONS IN UTILIZATION-ADJUSTED TFP AND ROBUST IDENTIFICATION OF NEWS SHOCKS

• 成果类型: Article
• 署名作者: Kurmann, Andre; Sims, Eric
• 署名单位: Drexel University; University of Notre Dame; National Bureau of Economic Research
• 刊物名称: REVIEW OF ECONOMICS AND STATISTICS
• ISSN/ISSBN: 0034-6535
• DOI: 10.1162/rest_a_00896
• 发表日期: 2021-05
• 页码: 216-235
• 关键词: long-run restrictions; term structure; business-cycle; stock-prices; TECHNOLOGY; slope; exploration; ECONOMICS; product

摘要

This paper documents large revisions in a widely used series of utilization-adjusted total factor productivity (TFP) by Fernald (2014) and shows that these revisions can materially affect empirical results about the effects of news shocks. We trace these revisions to changes in estimated factor utilization that are evocative of cyclical measurement issues with productivity. We propose an alternative identification that is robust to these measurement issues. Applied to U.S. data, the shock predicts delayed productivity growth while simultaneously generating strong responses of novel indicators of technological innovation and forward-looking variables. The shock does not lead to comovement in macroeconomic aggregates.