What explains the lagged-investment effect?

被引：77

作者：

Eberly, Janice ^{[2
]}

Rebelo, Sergio ^{[1
,2
]}

Vincent, Nicolas ^{[3
]}

机构：

[1] Northwestern Univ, JL Kellogg Grad Sch Management, Evanston, IL 60208 USA

[2] NBER, Cambridge, MA 02138 USA

[3] HEC Montreal, Montreal, PQ, Canada

来源：

JOURNAL OF MONETARY ECONOMICS | 2012年 / 59卷 / 04期

关键词：

MONETARY-POLICY; MODELS;

D O I：

10.1016/j.jmoneco.2012.05.002

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

The best predictor of current investment at the firm level is lagged investment. This lagged-investment effect is empirically more important than the cash-flow and Q effects combined. We show that the specification of investment adjustment costs proposed by Christiano et al. (2005) predicts the presence of a lagged-investment effect and that a generalized version of their model is consistent with the behavior of firm-level data from Compustat. (C) 2012 Elsevier B.V. All rights reserved.

引用

页码：370 / 380

页数：11

共 20 条

[11] Comparing dynamic equilibrium models to data:: a Bayesian approach [J].