Investment without Q

• 成果类型: Article
• 署名作者: Gala, Vito D.; Gomes, Joao F.; Liu, Tong
• 署名单位: Pacific Investment Management Company, LLC; University of Pennsylvania
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2019.10.014
• 发表日期: 2020
• 页码: 266-282
• 关键词: investment; Policy functions; indirect inference

摘要

This paper proposes an alternative to standard investment-Q regressions. Policy functions summarize the key predictions of any dynamic investment model, are easy to estimate and, unlike Tobin's Q, account for a large fraction of the variation in corporate investment. As such policy functions are much better suited to evaluate and estimate dynamic investment models. Using this superior characterization of firm investment behavior we use indirect inference methods to estimate deep parameters of a structural model of investment and show that investment adjustment cost parameters are generally better identified from estimated policy function coefficients. (C) 2019 Elsevier B.V. All rights reserved.y