Investment Dispersion and the Business Cycle

• 成果类型: Article
• 署名作者: Bachmann, Ruediger; Bayer, Christian
• 署名单位: RWTH Aachen University; Center for Economic & Policy Research (CEPR); Leibniz Association; Ifo Institut; University of Bonn
• 刊物名称: AMERICAN ECONOMIC REVIEW
• ISSN/ISSBN: 0002-8282
• DOI: 10.1257/aer.104.4.1392
• 发表日期: 2014
• 页码: 1392-1416
• 关键词: dynamics; shocks; uncertainty; adjustment; GROWTH; income; plant

摘要

The cross-sectional dispersion of firm-level investment rates is procyclical. This makes investment rates different from productivity, output, and employment growth, which have countercyclical dispersions. A calibrated heterogeneous-firm business cycle model with nonconvex capital adjustment costs and countercyclical dispersion of firm-level productivity shocks replicates these facts and produces a correlation between investment dispersion and aggregate output of 0.53, close to 0.45 in the data. We find that small shocks to the dispersion of productivity, which in the model constitutes firm risk, suffice to generate the mildly procyclical investment dispersion in the data but do not produce serious business cycles.