EconStor >
Federal Reserve Bank of New York >
Staff Reports, Federal Reserve Bank of New York >

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10419/60815
  
Title:Investment shocks and the relative price of investment PDF Logo
Authors:Justiniano, Alejandro
Primiceri, Giorgio E.
Tambalotti, Andrea
Issue Date:2009
Series/Report no.:Staff Report, Federal Reserve Bank of New York 411
Abstract:We estimate a New-Neoclassical Synthesis model of the business cycle with two investment shocks. The first, an investment-specific technology shock, affects the transformation of consumption into investment goods and is identified with the relative price of investment. The second shock affects the production of installed capital from investment goods or, more broadly, the transformation of savings into future capital input. We find that this shock is the most important driver of U.S. business cycle fluctuations in the postwar period and that it is likely to proxy for more fundamental disturbances to the functioning of the financial sector. To corroborate this interpretation, we show that the shock correlates strongly with interest rate spreads and that it played a particularly important role in the recession of 2008.
Subjects:Business cycles
financial factors
investment-specific technology
DSGE model
JEL:C11
E22
E32
Document Type:Working Paper
Appears in Collections:Staff Reports, Federal Reserve Bank of New York

Files in This Item:
File Description SizeFormat
622842773.pdf326 kBAdobe PDF
No. of Downloads: Counter Stats
Download bibliographical data as: BibTeX
Share on:http://hdl.handle.net/10419/60815

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.