Article ID Journal Published Year Pages File Type
966520 Journal of Monetary Economics 2013 15 Pages PDF
Abstract
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.
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
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