Long run productivity risk and aggregate investment

被引：12
|
作者：
Favilukis, Jack [1 ,2 ]
Lin, Xiaoji [3 ]
机构：
[1] Univ London London Sch Econ & Polit Sci, Dept Finance, London WC2A 2AE, England
[2] FMG, London WC2A 2AE, England
[3] Ohio State Univ, Fisher Coll Business, Columbus, OH 43210 USA
来源：
JOURNAL OF MONETARY ECONOMICS | 2013年 / 60卷 / 06期
关键词：
INTERTEMPORAL SUBSTITUTION; BUSINESS-CYCLE; AVERSION; CONSUMPTION; PLANT;
D O I：
10.1016/j.jmoneco.2013.05.002
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
Long-run productivity risk - shocks to the growth rate of productivity - offers an alternative to microfrictions explanations of aggregate investment non-linearities, in particular the heteroscedasticity of investment rate. Additionally, consistent with the data, these shocks imply that investment rate is history dependent (rising through expansions), its growth is positively autocorrelated, and it is positively correlated with output growth at various leads and lags. A standard model with shocks to the level of productivity either predicts opposite investment behavior or fails to quantitatively capture these features in the data. (C) 2013 Elsevier B.V. All rights reserved.
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页码：737 / 751
页数：15
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