scholarly journals Aggregate Implications of Lumpy Investment: New Evidence and a DSGE Model

2013 ◽  
Vol 5 (4) ◽  
pp. 29-67 ◽  
Author(s):  
Rüdiger Bachmann ◽  
Ricardo J. Caballero ◽  
Eduardo M. R. A. Engel
Keyword(s):  
Business Cycle ◽  
Time Variation ◽  
Specific Time ◽  
Dsge Model ◽  
Lumpy Investment ◽  
Macroeconomic Analysis ◽  
Capital Adjustment ◽  
Aggregate Investment ◽  
The Business Cycle ◽  
New Evidence

The sensitivity of US aggregate investment to shocks is procyclical. The response upon impact increases by approximately 50 percent from the trough to the peak of the business cycle. This feature of the data follows naturally from a DSGE model with lumpy microeconomic capital adjustment. Beyond explaining this specific time variation, our model and evidence provide a counterexample to the claim that microeconomic investment lumpiness is inconsequential for macroeconomic analysis. (JEL E13, E22, E32)

scholarly journals Aggregate Implications of Lumpy Investment: New Evidence and a DSGE Model

2006 ◽  
Author(s):  
Ruediger Bachmann ◽  
Ricardo Caballero ◽  
Eduardo M.R.A. Engel
Keyword(s):  
Dsge Model ◽  
Lumpy Investment ◽  
New Evidence

scholarly journals The Vietnamese business cycle in an estimated small open economy New Keynesian DSGE model

2020 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Phuong V. Nguyen
Keyword(s):  
Business Cycle ◽  
Open Economy ◽  
Small Open Economy ◽  
Research Paper ◽  
New Keynesian ◽  
Dsge Model ◽  
Content Type ◽  
Business Cycle Fluctuations ◽  
Dynamic Stochastic ◽  
The Business Cycle

PurposeThe primary purpose of this paper is to investigate the sources of the business cycle fluctuations in Vietnam. To this end, the author develops a small open economy New Keynesian dynamic stochastic general equilibrium (SOE-NK-DSGE) model. Accordingly, this model includes various features, such as habit consumption, staggered price, price indexation, incomplete exchange-rate pass-through (ERPT), the failures of the law of one price (LOOP) and the uncovered interest rate parity. It is then estimated by using the Bayesian technique and Vietnamese data 1999Q1–2017Q1. Based on the estimated model, this paper analyzes the sources of the business cycle fluctuations in this emerging economy. Indeed, this research paper is the first attempt at developing and estimating the SOE-NK-DSGE model with the Bayesian technique for Vietnam.Design/methodology/approachA SOE-NK-DSGE model—Bayesian estimation.FindingsThis paper analyzes the sources of the business cycle fluctuations in Vietnam.Originality/valueThis research paper is the first attempt at developing and estimating the SOE-NK-DSGE model with the Bayesian technique for Vietnam.

scholarly journals Machine Replacement and the Business Cycle: Lumps and Bumps

1999 ◽  
Vol 89 (4) ◽  
pp. 921-946 ◽  
Author(s):  
Russell Cooper ◽  
John Haltiwanger ◽  
Laura Power
Keyword(s):  
Capital Stock ◽  
Cross Sectional ◽  
Lumpy Investment ◽  
Level Data ◽  
Investment Dynamics ◽  
Aggregate Investment ◽  
The Cross ◽  
The Business Cycle ◽  
Plant Level ◽  
Machine Replacement

This paper explores investment fluctuations due to discrete changes in a plant's capital stock. The resulting aggregate investment dynamics are surprisingly rich, reflecting the interaction between a replacement cycle, the cross-sectional distribution of the age of the capital stock, and an aggregate shock. Using plant-level data, lumpy investment is procyclical and more likely for older capital. Further, the predicted path of aggregate investment that neglects vintage effects tracks actual aggregate investment reasonably well. However, ignoring fluctuations in the cross-sectional distribution of investment vintages can yield predictable nontrivial errors in forecasting changes in aggregate investment. (JEL E22, E32)

scholarly journals Investment Dispersion and the Business Cycle

2014 ◽  
Vol 104 (4) ◽  
pp. 1392-1416 ◽  
Author(s):  
Rüdiger Bachmann ◽  
Christian Bayer
Keyword(s):  
Business Cycle ◽  
Adjustment Costs ◽  
Firm Risk ◽  
Firm Level ◽  
Cross Sectional ◽  
Capital Adjustment ◽  
Investment Rates ◽  
Business Cycle Model ◽  
The Business Cycle ◽  
Heterogeneous Firm

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. (JEL D42, D92, E32, G31, G32)

The number of banking relationships and the business cycle: New evidence from Colombia

2011 ◽  
Vol 35 (3) ◽  
pp. 408-418 ◽  
Author(s):  
José Eduardo Gómez-González ◽  
Nidia Ruth Reyes
Keyword(s):  
Business Cycle ◽  
Banking Relationships ◽  
The Business Cycle ◽  
New Evidence

scholarly journals Aggregate Implications of Lumpy Investment: New Evidence and a DSGE Model

2008 ◽  
Author(s):  
Ruediger Bachmann ◽  
Ricardo J. Caballero ◽  
Eduardo M. R. A. Engel
Keyword(s):  
Dsge Model ◽  
Lumpy Investment ◽  
New Evidence
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