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Monetary Policy and Investment Dynamics: Evidence from Disaggregate Data

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  • Givens, Gregory
  • Reed, Robert

Abstract

We use disaggregated data on the components of private fixed investment (PFI) to estimate industry-level responses of real investment and capital prices to unanticipated monetary policy. The response functions derive from a restricted large-scale VAR estimated over 1959-2007. Our results point to significant cross-sector heterogeneity in the behavior of PFI prices and quantities. For assets belonging to the equipment category of fixed investment, we find that quantities rather than prices absorb most of the fallout from a policy shock. By contrast, the price effects tend to be higher and the output effects lower for nonresidential structures.

Suggested Citation

  • Givens, Gregory & Reed, Robert, 2015. "Monetary Policy and Investment Dynamics: Evidence from Disaggregate Data," MPRA Paper 61495, University Library of Munich, Germany.
  • Handle: RePEc:pra:mprapa:61495
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    References listed on IDEAS

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    1. repec:scn:econom:y:2019:i:3:p:59-67 is not listed on IDEAS
    2. repec:eee:ecmode:v:68:y:2018:i:c:p:23-31 is not listed on IDEAS
    3. Pietro Dallari & Antonio Ribba, 2019. "The Dynamic Effects of Monetary Policy and Government Spending Shocks on Unemployment in the Peripheral Euro Area Countries," Department of Economics 0143, University of Modena and Reggio E., Faculty of Economics "Marco Biagi".
    4. repec:eee:jmacro:v:60:y:2019:i:c:p:138-162 is not listed on IDEAS
    5. Pietro Dallari & Antonio Ribba, 2019. "The Dynamic Effects of Monetary Policy and Government Spending Shocks on Unemployment in the Peripheral Euro Area Countries," Center for Economic Research (RECent) 141, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".

    More about this item

    Keywords

    Investment; Monetary policy; Disaggregate data; VAR;

    JEL classification:

    • E22 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Investment; Capital; Intangible Capital; Capacity
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy

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