We study the time-varying effects of Tobin's q and cash flow on investment dynamics in the USA using a vector … variation over time of the response of investment to shocks in both variables. The time-varying sensitivity of investment to a … show that, although Tobin's q and cash flow are complementary sources of information for investment decisions, their …

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 …

This paper explores the importance of investment-specific technology changes in anticipated TFP fluctuations. To this … shocks to the relative price of investment. We show in a model with IST diffusion and spillover that the correlation of these …

of previous VAR based studies. The sectoral responses reveal considerable heterogeneity. In particular, sectors more …

We combine the factor augmented VAR framework with recently developed estimation and identification procedures for …

stands in stark contrast to traditional VAR models, which yield decisively different results in the two identification …

We combine the factor augmented VAR framework with recently developed estimation and identification procedures for …

stands in stark contrast to traditional VAR models, which yield decisively different results in the two identification …

-used probit approach, but the dynamics of regressors are endogenized using a VAR. The combined model is called a ‘ProbVAR’. At any …