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LÉVY-STABLE PRODUCTIVITY SHOCKS

Published online by Cambridge University Press:  01 June 2008

EDOARDO GAFFEO
EDOARDO GAFFEO*
Affiliation:
University of Trento
*
Address correspondence to: Edoardo Gaffeo, Department of Economics and CEEL, University of Trento, Via Inama 5, I-38100 Trento, Italy; e-mail: edoardo.gaffeo@economia.unitn.it.
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Abstract

In this paper, we analyze the distribution of TFP growth rates at the four-digit sectoral level for the United States. We find that, contrary to the usual assumption employed in the literature on business cycles theory, technological shocks are not normally distributed. Instead, a Lévy-stable distribution with a divergent variance returns a better fit to the data.

Keywords

TFPLévy-Stable DistributionsBusiness Cycles
Type
Articles
Information
Macroeconomic Dynamics , Volume 12 , Issue 3 , June 2008 , pp. 425 - 443
Copyright
Copyright © Cambridge University Press 2008

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