TY - JOUR
T1 - Long run productivity risk and aggregate investment
AU - Favilukis, Jack
AU - Lin, Xiaoji
N1 - Copyright:
Copyright 2013 Elsevier B.V., All rights reserved.
PY - 2013/9
Y1 - 2013/9
N2 - 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.
AB - 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.
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U2 - 10.1016/j.jmoneco.2013.05.002
DO - 10.1016/j.jmoneco.2013.05.002
M3 - Article
AN - SCOPUS:84883752871
SN - 0304-3932
VL - 60
SP - 737
EP - 751
JO - Journal of Monetary Economics
JF - Journal of Monetary Economics
IS - 6
ER -