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Aggregate Implications of Lumpy Investment : New Evidence and a DSGE Model
Bachmann, Ruediger - 2010
The sensitivity of U.S. aggregate investment to shocks is procyclical: the initial response increases by approximately … counterexample to the claim that microeconomic investment lumpiness is inconsequential for macroeconomic analysis …
Persistent link: https://www.econbiz.de/10012761267
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The Safety Trap
Caballero, Ricardo J. - 2014
In this paper we provide a model of the macroeconomic implications of safe asset shortages. In particular, we discuss the emergence of a deflationary safety trap equilibrium with endogenous risk premia. It is an acute form of a liquidity trap, in which the shortage of a specific form of assets,...
Persistent link: https://www.econbiz.de/10013058249
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Improper Churn : Social Costs and Macroeconomic Consequences
Caballero, Ricardo J.; Hammour, Mohamad L. - 2021
associated with structural unemployment and low productivity -- due to technological sclerosis' and a scrambling' of productivity … traditional unemployment cost is due to reduced productivity and is determined by the recession's cumulative effect on the economy …'s churn rate. Although a recessionary shock increases the economy's turbulence' at impact, semi-structural VAR evidence from …
Persistent link: https://www.econbiz.de/10013228977
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Explaining Investment Dynamics in U.S. Manufacturing : A Generalized (S,S) Approach
Caballero, Ricardo J. - 2011
In this paper we derive a model of aggregate investment that builds from the lumpy microeconomic behavior of firms … aggregate investment obtained from adding up the actions of firms subject to aggregate and idiosyncratic shocks, is highly non … postwar sectoral U.S. manufacturing equipment and structures investment. For a given sequence of aggregate shocks, the …
Persistent link: https://www.econbiz.de/10013125317
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Nonlinear Aggregate Investment Dynamics : Theory and Evidence
Engel, Eduardo; Caballero, Ricardo J. - 2022
In this paper we derive a model of aggregate investment that builds from the lumpy microeconomic behavior of firms …-of-sample criteria, we find that the model performs substantially better than the standard linear models of investment for postwar … sectoral U.S. manufacturing equipment and structures investment data …
Persistent link: https://www.econbiz.de/10014060783
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Irreversibility and Aggregate Investment
Bertola, Giuseppe; Caballero, Ricardo J. - 2022
Investment is often irreversible, in that installed capital has little or no value unless used in production. In the … presence of ongoing uncertainty, an individual firm's irreversible investment policy optimally alternates short bursts of … positive gross investment to periods of inaction, when the installed capital stock is allowed to depreciate. The behavior of …
Persistent link: https://www.econbiz.de/10014074102
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Contingent Reserves Management : An Applied Framework
Caballero, Ricardo J.; Panageas, Stauros - 2021
One of the most serious problems that a central bank in an emerging market economy can face, is the sudden reversal of capital inflows. Hoarding international reserves can be used to smooth the impact of such reversals, but these reserves are seldom sufficient and always expensive to hold. In...
Persistent link: https://www.econbiz.de/10013222654
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On the Timing and Efficiency of Creative Destruction
Caballero, Ricardo J. - 2010
This paper analyzes the timing, pace and efficiency of the on- going job reallocation that results from product and process innovation. There are strong reasons why an efficient economy ought to concentrate both job creation and destruction during cyclical downturns, when the opportunity cost of...
Persistent link: https://www.econbiz.de/10013139984
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Exchange Rate Volatility and the Credit Channel in Emerging Markets : A Vertical Perspective
Caballero, Ricardo J.; Krishnamurthy, Arvind - 2021
Firms in emerging markets are exposed to severe financial frictions and credit constraints, that are exacerbated by the sudden stop of capital inflows. Can monetary policy offset this external credit squeeze? We show that although this may be the case during moderate contractions (or in partial...
Persistent link: https://www.econbiz.de/10013211679
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Asset Prices and Aggregate Demand in a "Covid-19" Shock : A Model of Endogenous Risk Intolerance and Lsaps
Caballero, Ricardo J. - 2020
following a large real (non-financial) shock; and (ii) demonstrate the effectiveness of Large Scale Asset Purchases (LSAPs) in … addressing these contractions. The key mechanism stems from heterogeneous risk tolerance: as a recessionary shock hits the … Covid-19 shock and the large response by all the major central banks provide a vivid illustration of the environment we seek …
Persistent link: https://www.econbiz.de/10012835752