Long run productivity risk and aggregate investment
成果类型：
Article
署名作者：
Favilukis, Jack; Lin, Xiaoji
署名单位：
University of London; London School Economics & Political Science; University of London; London School Economics & Political Science; University System of Ohio; Ohio State University
刊物名称：
JOURNAL OF MONETARY ECONOMICS
ISSN/ISSBN：
0304-3932
DOI：
10.1016/j.jmoneco.2013.05.002
发表日期：
2013
页码：
737-751
关键词：
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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