Following the Trend: Tracking GDP when Long-Run Growth is Uncertain

Following the Trend: Tracking GDP when Long-Run Growth is Uncertain
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Following the Trend: Tracking GDP when Long-Run Growth is Uncertain
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Petrella, Ivan
Drechsel, Thomas
Antolin-Diaz, Juan
Registered:
Juan Antolin-Diaz
Thomas Drechsel
Ivan Petrella
Abstract
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 this slowdown started 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, variations in the growth rate of labor productivity appear to be the most important driver of changes in GDP growth for both the US 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.
Suggested Citation
Petrella, Ivan & Drechsel, Thomas & Antolin-Diaz, Juan, 2014.
Following the Trend: Tracking GDP when Long-Run Growth is Uncertain
,"
CEPR Discussion Papers
10272, C.E.P.R. Discussion Papers.
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RePEc:cpr:ceprdp:10272
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More about this item
Keywords
JEL
classification:
C32
- Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
E01
- Macroeconomics and Monetary Economics - - General - - - Measurement and Data on National Income and Product Accounts and Wealth; Environmental Accounts
E23
- Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Production
E32
- Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
O47
- Economic Development, Innovation, Technological Change, and Growth - - Economic Growth and Aggregate Productivity - - - Empirical Studies of Economic Growth; Aggregate Productivity; Cross-Country Output Convergence
NEP fields
This paper has been announced in the following
NEP Reports
NEP-FDG-2015-01-09
(Financial Development and Growth)
NEP-GRO-2015-01-09
(Economic Growth)
NEP-MAC-2015-01-09
(Macroeconomics)
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