Working Paper: NBER ID: w22154
Authors: Eric R. Sims
Abstract: 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.
Keywords: Utilization-Adjusted TFP; News Shocks; Business Cycles
JEL Codes: E22; E23; E32; O47
Edges that are evidenced by causal inference methods are in orange, and the rest are in light blue.
| Cause | Effect |
|---|---|
| vintage of adjusted TFP data (D20) | correlation with output (C10) |
| vintage of adjusted TFP data (D20) | correlation with hours worked (J22) |
| vintage of adjusted TFP data (D20) | response of output to positive news shock (E32) |
| vintage of adjusted TFP data (D20) | output expansion following positive news shock (F41) |
| methodology for measuring utilization in adjusted TFP series (C51) | differences in correlations and impulse responses (C22) |