Tracking the Slowdown in Long-Run GDP Growth

• 成果类型: Article
• 署名作者: Antolin-Diaz, Juan; Drechsel, Thomas; Petrella, Ivan
• 署名单位: University of London; London School Economics & Political Science; University of Warwick; Centre for Economic Policy Research - UK; University of Warwick
• 刊物名称: REVIEW OF ECONOMICS AND STATISTICS
• ISSN/ISSBN: 0034-6535
• DOI: 10.1162/REST_a_00646
• 发表日期: 2017-05
• 页码: 343-356
• 关键词: macroeconomic time-series; stochastic volatility; business cycles; transitory components; bayesian-analysis; linear-models; UNITED-STATES; PRODUCTIVITY; permanent; inflation

摘要

Using a dynamic factor model that allows for changes in both the long-run growth rate of output and the volatility of business cycles, we document a significant decline in long-run output growth in the United States. Our evidence supports the view that most of this slowdown occurred prior to the Great Recession. We show how to use the model to decompose changes in long-run growth into its underlying drivers. At low frequencies, a decline in the growth rate of labor productivity appears to be behind the recent slowdown in GDP growth for both the United States and other advanced economies. When applied to real-time data, the proposed model is capable of detecting shifts in long-run growth in a timely and reliable manner.