Investment shocks and the relative price of investment
We estimate a New-Neoclassical Synthesis business cycle model with two investment shocks. The first, an investment-specific technology shock, affects the transformation of consumption into investment goods and is identified with the relative price of investment. The second shock affects the producti...
Gespeichert in:
| Veröffentlicht in: | Review of economic dynamics 2011, Vol.14 (1), p.102-121 |
|---|---|
| Hauptverfasser: | , , |
| Format: | Artikel |
| Sprache: | eng |
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Tags: |
Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
|
| container_end_page | 121 |
|---|---|
| container_issue | 1 |
| container_start_page | 102 |
| container_title | Review of economic dynamics |
| container_volume | 14 |
| creator | Justiniano, Alejandro Primiceri, Giorgio E. Tambalotti, Andrea |
| description | We estimate a New-Neoclassical Synthesis business cycle model with two investment shocks. The first, an investment-specific technology shock, affects the transformation of consumption into investment goods and is identified with the relative price of investment. The second shock affects the production of installed capital from investment goods or, more broadly, the transformation of savings into the future capital input. We find that this shock is the most important driver of U.S. business cycle fluctuations in the post-war period and that it is likely to proxy for more fundamental disturbances to the functioning of the financial sector. To corroborate this interpretation, we show that it is closely related to interest rate spreads and that it played a particularly important role in the recession of 2008–2009. |
| doi_str_mv | 10.1016/j.red.2010.08.004 |
| format | Article |
| fullrecord | <record><control><sourceid>proquest_cross</sourceid><recordid>TN_cdi_proquest_miscellaneous_847277768</recordid><sourceformat>XML</sourceformat><sourcesystem>PC</sourcesystem><els_id>S1094202510000396</els_id><sourcerecordid>2233841201</sourcerecordid><originalsourceid>FETCH-LOGICAL-c462t-f6d8621c7732b4a330fee5f724536f237ba38bd9cbe69fa54325acf1498475ba3</originalsourceid><addsrcrecordid>eNp9kD1PwzAQhi0EEqXwA9giFqaE80fsREyo4kuqxAKz5Thn1SFNip1W4t_jUsTAwHR3uue9j5eQSwoFBSpvuiJgWzBINVQFgDgiMwq1zCXU9fF3LnIGrDwlZzF2AJRKkDMin4cdxmmNw5TF1WjfY2aGNptWmAXszeR3mG2Ct5iNLvO_7Dk5caaPePET5-Tt4f518ZQvXx6fF3fL3ArJptzJtpKMWqU4a4ThHBxi6RQTJZeOcdUYXjVtbRuUtTOl4Kw01lFRV0KVqTkn14e5mzB-bNNyvfbRYt-bAcdt1AljSilZJfLqD9mN2zCk43TFWM2hojxB9ADZMMYY0On029qET01B733UnU4-6r2PGiqdfEya24MG0587j0FH63Gw2PqAdtLt6P9RfwGL53mw</addsrcrecordid><sourcetype>Aggregation Database</sourcetype><iscdi>true</iscdi><recordtype>article</recordtype><pqid>822930813</pqid></control><display><type>article</type><title>Investment shocks and the relative price of investment</title><source>Access via ScienceDirect (Elsevier)</source><creator>Justiniano, Alejandro ; Primiceri, Giorgio E. ; Tambalotti, Andrea</creator><creatorcontrib>Justiniano, Alejandro ; Primiceri, Giorgio E. ; Tambalotti, Andrea</creatorcontrib><description>We estimate a New-Neoclassical Synthesis business cycle model with two investment shocks. The first, an investment-specific technology shock, affects the transformation of consumption into investment goods and is identified with the relative price of investment. The second shock affects the production of installed capital from investment goods or, more broadly, the transformation of savings into the future capital input. We find that this shock is the most important driver of U.S. business cycle fluctuations in the post-war period and that it is likely to proxy for more fundamental disturbances to the functioning of the financial sector. To corroborate this interpretation, we show that it is closely related to interest rate spreads and that it played a particularly important role in the recession of 2008–2009.</description><identifier>ISSN: 1094-2025</identifier><identifier>EISSN: 1096-6099</identifier><identifier>DOI: 10.1016/j.red.2010.08.004</identifier><identifier>CODEN: REDEB7</identifier><language>eng</language><publisher>Orlando: Elsevier Inc</publisher><subject>Business cycles ; Consumption ; Consumption theory ; Credit spread ; DSGE model ; Economic models ; Economic shock ; Financial factors ; General economic equilibrium ; Interest rates ; Investment ; Investment goods ; Investment theory ; Investment-specific technology ; Macroeconomics ; Prices ; Studies ; Technology transfer</subject><ispartof>Review of economic dynamics, 2011, Vol.14 (1), p.102-121</ispartof><rights>2010 Elsevier Inc.</rights><rights>Copyright Academic Press Jan 2011</rights><lds50>peer_reviewed</lds50><oa>free_for_read</oa><woscitedreferencessubscribed>false</woscitedreferencessubscribed><citedby>FETCH-LOGICAL-c462t-f6d8621c7732b4a330fee5f724536f237ba38bd9cbe69fa54325acf1498475ba3</citedby><cites>FETCH-LOGICAL-c462t-f6d8621c7732b4a330fee5f724536f237ba38bd9cbe69fa54325acf1498475ba3</cites></display><links><openurl>$$Topenurl_article</openurl><openurlfulltext>$$Topenurlfull_article</openurlfulltext><thumbnail>$$Tsyndetics_thumb_exl</thumbnail><linktohtml>$$Uhttps://dx.doi.org/10.1016/j.red.2010.08.004$$EHTML$$P50$$Gelsevier$$H</linktohtml><link.rule.ids>314,780,784,3550,4024,27923,27924,27925,45995</link.rule.ids></links><search><creatorcontrib>Justiniano, Alejandro</creatorcontrib><creatorcontrib>Primiceri, Giorgio E.</creatorcontrib><creatorcontrib>Tambalotti, Andrea</creatorcontrib><title>Investment shocks and the relative price of investment</title><title>Review of economic dynamics</title><description>We estimate a New-Neoclassical Synthesis business cycle model with two investment shocks. The first, an investment-specific technology shock, affects the transformation of consumption into investment goods and is identified with the relative price of investment. The second shock affects the production of installed capital from investment goods or, more broadly, the transformation of savings into the future capital input. We find that this shock is the most important driver of U.S. business cycle fluctuations in the post-war period and that it is likely to proxy for more fundamental disturbances to the functioning of the financial sector. To corroborate this interpretation, we show that it is closely related to interest rate spreads and that it played a particularly important role in the recession of 2008–2009.</description><subject>Business cycles</subject><subject>Consumption</subject><subject>Consumption theory</subject><subject>Credit spread</subject><subject>DSGE model</subject><subject>Economic models</subject><subject>Economic shock</subject><subject>Financial factors</subject><subject>General economic equilibrium</subject><subject>Interest rates</subject><subject>Investment</subject><subject>Investment goods</subject><subject>Investment theory</subject><subject>Investment-specific technology</subject><subject>Macroeconomics</subject><subject>Prices</subject><subject>Studies</subject><subject>Technology transfer</subject><issn>1094-2025</issn><issn>1096-6099</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>2011</creationdate><recordtype>article</recordtype><recordid>eNp9kD1PwzAQhi0EEqXwA9giFqaE80fsREyo4kuqxAKz5Thn1SFNip1W4t_jUsTAwHR3uue9j5eQSwoFBSpvuiJgWzBINVQFgDgiMwq1zCXU9fF3LnIGrDwlZzF2AJRKkDMin4cdxmmNw5TF1WjfY2aGNptWmAXszeR3mG2Ct5iNLvO_7Dk5caaPePET5-Tt4f518ZQvXx6fF3fL3ArJptzJtpKMWqU4a4ThHBxi6RQTJZeOcdUYXjVtbRuUtTOl4Kw01lFRV0KVqTkn14e5mzB-bNNyvfbRYt-bAcdt1AljSilZJfLqD9mN2zCk43TFWM2hojxB9ADZMMYY0On029qET01B733UnU4-6r2PGiqdfEya24MG0587j0FH63Gw2PqAdtLt6P9RfwGL53mw</recordid><startdate>2011</startdate><enddate>2011</enddate><creator>Justiniano, Alejandro</creator><creator>Primiceri, Giorgio E.</creator><creator>Tambalotti, Andrea</creator><general>Elsevier Inc</general><general>Academic Press</general><scope>AAYXX</scope><scope>CITATION</scope><scope>8BJ</scope><scope>FQK</scope><scope>JBE</scope></search><sort><creationdate>2011</creationdate><title>Investment shocks and the relative price of investment</title><author>Justiniano, Alejandro ; Primiceri, Giorgio E. ; Tambalotti, Andrea</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-LOGICAL-c462t-f6d8621c7732b4a330fee5f724536f237ba38bd9cbe69fa54325acf1498475ba3</frbrgroupid><rsrctype>articles</rsrctype><prefilter>articles</prefilter><language>eng</language><creationdate>2011</creationdate><topic>Business cycles</topic><topic>Consumption</topic><topic>Consumption theory</topic><topic>Credit spread</topic><topic>DSGE model</topic><topic>Economic models</topic><topic>Economic shock</topic><topic>Financial factors</topic><topic>General economic equilibrium</topic><topic>Interest rates</topic><topic>Investment</topic><topic>Investment goods</topic><topic>Investment theory</topic><topic>Investment-specific technology</topic><topic>Macroeconomics</topic><topic>Prices</topic><topic>Studies</topic><topic>Technology transfer</topic><toplevel>peer_reviewed</toplevel><toplevel>online_resources</toplevel><creatorcontrib>Justiniano, Alejandro</creatorcontrib><creatorcontrib>Primiceri, Giorgio E.</creatorcontrib><creatorcontrib>Tambalotti, Andrea</creatorcontrib><collection>CrossRef</collection><collection>International Bibliography of the Social Sciences (IBSS)</collection><collection>International Bibliography of the Social Sciences</collection><collection>International Bibliography of the Social Sciences</collection><jtitle>Review of economic dynamics</jtitle></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext</fulltext></delivery><addata><au>Justiniano, Alejandro</au><au>Primiceri, Giorgio E.</au><au>Tambalotti, Andrea</au><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>Investment shocks and the relative price of investment</atitle><jtitle>Review of economic dynamics</jtitle><date>2011</date><risdate>2011</risdate><volume>14</volume><issue>1</issue><spage>102</spage><epage>121</epage><pages>102-121</pages><issn>1094-2025</issn><eissn>1096-6099</eissn><coden>REDEB7</coden><abstract>We estimate a New-Neoclassical Synthesis business cycle model with two investment shocks. The first, an investment-specific technology shock, affects the transformation of consumption into investment goods and is identified with the relative price of investment. The second shock affects the production of installed capital from investment goods or, more broadly, the transformation of savings into the future capital input. We find that this shock is the most important driver of U.S. business cycle fluctuations in the post-war period and that it is likely to proxy for more fundamental disturbances to the functioning of the financial sector. To corroborate this interpretation, we show that it is closely related to interest rate spreads and that it played a particularly important role in the recession of 2008–2009.</abstract><cop>Orlando</cop><pub>Elsevier Inc</pub><doi>10.1016/j.red.2010.08.004</doi><tpages>20</tpages><oa>free_for_read</oa></addata></record> |
| fulltext | fulltext |
| identifier | ISSN: 1094-2025 |
| ispartof | Review of economic dynamics, 2011, Vol.14 (1), p.102-121 |
| issn | 1094-2025 1096-6099 |
| language | eng |
| recordid | cdi_proquest_miscellaneous_847277768 |
| source | Access via ScienceDirect (Elsevier) |
| subjects | Business cycles Consumption Consumption theory Credit spread DSGE model Economic models Economic shock Financial factors General economic equilibrium Interest rates Investment Investment goods Investment theory Investment-specific technology Macroeconomics Prices Studies Technology transfer |
| title | Investment shocks and the relative price of investment |
| url | https://sfx.bib-bvb.de/sfx_tum?ctx_ver=Z39.88-2004&ctx_enc=info:ofi/enc:UTF-8&ctx_tim=2024-12-19T07%3A30%3A42IST&url_ver=Z39.88-2004&url_ctx_fmt=infofi/fmt:kev:mtx:ctx&rfr_id=info:sid/primo.exlibrisgroup.com:primo3-Article-proquest_cross&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.genre=article&rft.atitle=Investment%20shocks%20and%20the%20relative%20price%20of%20investment&rft.jtitle=Review%20of%20economic%20dynamics&rft.au=Justiniano,%20Alejandro&rft.date=2011&rft.volume=14&rft.issue=1&rft.spage=102&rft.epage=121&rft.pages=102-121&rft.issn=1094-2025&rft.eissn=1096-6099&rft.coden=REDEB7&rft_id=info:doi/10.1016/j.red.2010.08.004&rft_dat=%3Cproquest_cross%3E2233841201%3C/proquest_cross%3E%3Curl%3E%3C/url%3E&disable_directlink=true&sfx.directlink=off&sfx.report_link=0&rft_id=info:oai/&rft_pqid=822930813&rft_id=info:pmid/&rft_els_id=S1094202510000396&rfr_iscdi=true |