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Investment Spikes: New Facts and a General Equilibrium Exploration Author info | Abstract | Publisher info | Download info | Related research | Statistics Francois Gourio
Anil K Kashyap
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Using plant-level data from Chile and the U.S. we show that investment spikes are highly pro-cyclical, so much so that changes in the number of establishments undergoing investment spikes (the "extensive margin") account for the bulk of variation in aggregate investment. The number of establishments undergoing investment spikes also has independent predictive power for aggregate investment, even controlling for past investment and sales. We re-calibrate the Thomas (2002) model (that includes fixed costs of investing) so that it assigns a prominent role to extensive adjustment. The recalibrated model has different properties than the standard RBC model for some shocks.
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Date of creation: Jun 2007Date of revision:
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Find related papers by JEL classification: E22 - Macroeconomics and Monetary Economics - - Macroeconomics: Consumption, Saving, Production, Employment, and Investment - - - Capital; Investment; Capacity E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
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"Idiosyncratic Shocks and the Role of Nonconvexities in Plant and Aggregate Investment Dynamics ,"
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"Idiosyncratic shocks and the role of nonconvexities in plant and aggregate investment dynamics ,"
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"Idiosyncratic Shocks and the Role of Nonconvexities in Plant and Aggregate Investment Dynamics ,"
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"Idiosyncratic shocks and the role of nonconvexities in plant and aggregate investment dynamics ,"
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references Cited by : (explanations , Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.)
François Gourio, 2006.
"Firms’ Heterogeneous Sensitivities to the Business Cycle, and the Cross-Section of Expected Returns ,"
Boston University - Department of Economics - Working Papers Series
WP2006-005, Boston University - Department of Economics.
[Downloadable!]
Other versions: Ruediger Bachmann & Ricardo J. Caballero & Eduardo Engel, 2008.
"Aggregate Implications of Lumpy Investment: New Evidence and a DSGE Model ,"
Cowles Foundation Discussion Papers
1566R, Cowles Foundation, Yale University.
[Downloadable!]
Hanno Lustig, .
"Exploring the Link between Housing and the Value Premium (joint with Stijn Van Nieuwerburgh) ,"
UCLA Economics Online Papers
389, UCLA Department of Economics.
[Downloadable!]
Aubhik Khan & Julia K. Thomas, 2007.
"Idiosyncratic shocks and the role of nonconvexities in plant and aggregate investment dynamics ,"
Working Papers
07-24, Federal Reserve Bank of Philadelphia.
[Downloadable!]
Other versions:
Julia K. Thomas & Aubhik Khan, 2004.
"Idiosyncratic shocks and the role of nonconvexities in plant and aggregate investment dynamics ,"
2004 Meeting Papers
455, Society for Economic Dynamics.
Aubhik Khan & Julia K. Thomas, 2006.
"Idiosyncratic Shocks and the Role of Nonconvexities in Plant and Aggregate Investment Dynamics ,"
2006 Meeting Papers
294, Society for Economic Dynamics.
[Downloadable!] Aubhik Khan & Julia Thomas, 2004.
"Idiosyncratic shocks and the role of nonconvexities in plant and aggregate investment dynamics ,"
Staff Report
352, Federal Reserve Bank of Minneapolis.
[Downloadable!] Aubhik Khan & Julia Thomas, 2007.
"Idiosyncratic Shocks and the Role of Nonconvexities in Plant and Aggregate Investment Dynamics ,"
NBER Working Papers
12845, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted) Aubhik Khan & Julia K. Thomas, 2004.
"Idiosyncratic shocks and the role of nonconvexities in plant and aggregate investment dynamics ,"
Working Papers
04-15, Federal Reserve Bank of Philadelphia.
[Downloadable!] Aubhik Khan & Julia K. Thomas, 2008.
"Idiosyncratic Shocks and the Role of Nonconvexities in Plant and Aggregate Investment Dynamics ,"
Econometrica ,
Econometric Society, vol. 76(2), pages 395-436, 03.
[Downloadable!] (restricted) Francois Gourio, 2007.
"Disasters and Recoveries: A Note on the Barro-Rietz Explanation of the Equity Premium Puzzle ,"
Boston University - Department of Economics - Working Papers Series
WP2007-007, Boston University - Department of Economics.
[Downloadable!]
Other versions:
Francois Gourio & Anil K Kashyap, 2007.
"Investment Spikes: New Facts and a General Equilibrium Exploration ,"
NBER Working Papers
13157, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted) Gourio, Francois & Kashyap, Anil K, 2007.
"Investment spikes: New facts and a general equilibrium exploration ,"
Journal of Monetary Economics ,
Elsevier, vol. 54(sup1), pages 1-22, September.
[Downloadable!] (restricted)
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