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Evidence and ideology in macroeconomics : the case of investment cycles
Hillinger, Claude - 2005
form of investment cycles. These quasi-periodic movements can be represented as low order, stochastic, dynamic processes … with complex eigenvalues. Specifically, there is a fixed investment cycle of about 8 years and an inventory cycle of about … adjustment costs both in relation to the capital stock and the rate of investment. By means of parametric resonance it was …
Persistent link: https://www.econbiz.de/10010440436
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Time-varying investment dynamics in the USA
Mendieta-Muñoz, Ivan - 2024
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 …
Persistent link: https://www.econbiz.de/10014483612
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That Elusive Elasticity and the Ubiquitous Bias : Is Panel Data a Panacea?
Smith, James Matthew - 2008
There is often assumed to be a unit elasticity of substitution between capital and labour. But estimates based on neoclassical capital demand equations frequently find a smaller value. Recent time-series work for the United States and Canada has suggested that, once the biases inherent in...
Persistent link: https://www.econbiz.de/10014219260
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Aggregate Implications of Lumpy Investment : New Evidence and a DSGE Model
Bachmann, Ruediger; Caballero, Ricardo J.; Engel, … - 2011
The sensitivity of U.S. aggregate investment to shocks is procyclical: the response upon impact increases by … a counterexample to the claim that microeconomic investment lumpiness is inconsequential for macroeconomic analysis …
Persistent link: https://www.econbiz.de/10014217331
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Regularized estimation of structural instability in factor models : the US macroeconomy and the great moderation
Callot, Laurent; Kristensen, Johannes Tang - 2015
This paper shows that the parsimoniously time-varying methodology of Callot and Kristensen (2015) can be applied to factor models. We apply this method to study macroeconomic instability in the US from 1959:1 to 2006:4 with a particular focus on the Great Moderation. Models with parsimoniously...
Persistent link: https://www.econbiz.de/10010532582
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Convergence in European GDP series
Luginbuhl, Rob; Koopman, Siem Jan - 2003
Convergence in gross domestic product series of five European countriesis empirically identified using multivariate time series models that arebased on unobserved components with dynamic converging properties.We define convergence in terms of a decrease in dispersion over timeand model this...
Persistent link: https://www.econbiz.de/10011333256
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Accelerating Peak Dating in a Dynamic Factor Markov-Switching Model
van Os, Bram - 2020
The dynamic factor Markov-switching (DFMS) model introduced by Diebold and Rudebusch (1996) has proven to be a powerful framework to measure the business cycle. We extend the DFMS model by allowing for time-varying transition probabilities, with the aim of accelerating the real-time dating of...
Persistent link: https://www.econbiz.de/10012823125
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Spectral Factor Models
Bandi, Federico M. - 2020
We represent risk factors as sums of orthogonal components capturing fluctuations with cycles of different length. The representation leads to novel spectral factor models in which systematic risk is allowed (without being forced) to vary across frequencies. Frequency-specific systematic risk is...
Persistent link: https://www.econbiz.de/10012851025
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Nowcasting Business Cycles : A Bayesian Approach to Dynamic Heterogeneous Factor Models
D'Agostino, Antonello - 2015
We develop a framework for measuring and monitoring business cycles in real time. Following a long tradition in macroeconometrics, inference is based on a variety of indicators of economic activity, treated as imperfect measures of an underlying index of business cycle conditions. We extend...
Persistent link: https://www.econbiz.de/10013016899
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Weekly economic activity: measurement and informational content
Wegmüller, Philipp; Glocker, Christian; Guggia, Valentino - 2021 - This version: April 1, 2021
We construct a composite index to measure real activity of the Swiss economy on a weekly frequency. The index is based on a novel high-frequency data-set capturing economic activity across distinct dimensions over a long-time horizon. An adequate adjustment of raw data prior to deriving the...
Persistent link: https://www.econbiz.de/10012511470