作者：Colacito, Ric; Croce, Max; Ho, Steven; Howard, Philip
作者单位：University of North Carolina; University of North Carolina Chapel Hill; National Bureau of Economic Research; University of North Carolina; University of North Carolina Chapel Hill; Bocconi University; Center for Economic & Policy Research (CEPR); Columbia University; Tsinghua University; Wake Forest University
摘要：We study the response of international investment flows to short- and long-run growth news. Among developed G7 countries, positive long-run news for domestic productivity induces a net outflow of investments, in contrast to the effects of short-run growth shocks. We document that a standard Backus, Keho, and Kydland (1994) (BKK) model fails to reproduce this novel empirical evidence. We augment this model with Epstein and Zin (1989) preferences (EZ-BKK) and characterize the resulting recursive...
