The Impact of Uncertainty Shocks on State-Level Total Factor Productivity

Autor:	William B. Hankins, Chak Hung Jack Cheng, Anna-Leigh Stone
Rok vydání:	2020
Předmět:	Shock (economics) Negative response Autoregressive model Range (statistics) Economics Econometrics Percentage point State (functional analysis) Total factor productivity Standard deviation
Zdroj:	SSRN Electronic Journal.
ISSN:	1556-5068
DOI:	10.2139/ssrn.3662614
Popis:	Using U.S. data over the period 1961 - 2000 we estimate a structural factor-augmented vector autoregressive model and find that a one standard deviation shock to macroeconomic uncertainty generates declines in state-level total factor productivity (TFP) growth that range from -0.15 to -0.98 percentage points at their peak negative response. Cross-sectional regressions show that industry mix is an important channel through which uncertainty shocks affect TFP growth. In particular, a state with a larger manufacturing sector experiences a larger decline in TFP growth.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::1f76585d3c18e5886b9fa3e7253a75c1 https://doi.org/10.2139/ssrn.3662614 Zobrazit plný text záznamu