Universität Bonn

Department of Economics

MEF-Seminare Wintersemester 22/23

Gulio Fella (London), 14.12.2022

The nature of productivity shocks is a central feature of models of heterogeneous-firm dynamics. Using firm-level data from Spain, we show that the observed productivity dynamics differ from those implied by the canonical, linear AR(1) representation with normally-distributed shocks. We document that the productivity process features non-linear persistence and non-normality. Motivated by this, we estimate a flexible stochastic process for productivity which allows for these features and compare its implications with the canonical one. We find that the flexible model fits the productivity data much better. We also estimate non-parametric, semi-reduced form empirical investment functions and find that the two processes imply very different responses to productivity shocks. Those estimated under the linear process imply, counterintuitively, that investment responds substantially more to transitory than persistent productivity shocks.(...)for more informations please visit our RTG website
Wednesday, 14.12.22 - 12:15 PM - 01:30 PM
Non-Linear Productivity and Investment Dynamics
Juridicum, Adenauerallee 24-42
Faculty Room
not required
Institute for Macroeconomics and Econometrics
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