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Delayed adjustment and persistence in macroeconomic models
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Van Rens, Thijs and Vukotić, Marija (2023) Delayed adjustment and persistence in macroeconomic models. Journal of Money, Credit and Banking, 55 (6). pp. 1325-1356. doi:10.1111/jmcb.13011 ISSN 0022-2879.
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J of Money Credit Banking - 2023 - VAN RENS - Delayed Adjustment and Persistence in Macroeconomic Models.pdf - Published Version - Requires a PDF viewer. Available under License Creative Commons Attribution Non-commercial No Derivatives 4.0. Download (552Kb) | Preview |
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Official URL: https://doi.org/10.1111/jmcb.13011
Abstract
Estimated impulse responses of investment and hiring typically peak well after the impact of a shock. Standard models with adjustment costs in capital and labor do not exhibit such delayed adjustment, but we argue that it arises naturally when we relax the assumption that the production technology is separable over time. This result, which holds for both convex and non-convex cost functions, is strong enough to match the persistence observed in the data for reasonable parameter values. We discuss some evidence for our explanation and ways to test it.
Item Type: | Journal Article | ||||||||
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Subjects: | H Social Sciences > HB Economic Theory H Social Sciences > HD Industries. Land use. Labor H Social Sciences > HG Finance |
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Divisions: | Faculty of Social Sciences > Economics | ||||||||
Library of Congress Subject Headings (LCSH): | Macroeconomics -- Econometric models , Option-adjusted spread analysis , Investment analysis, Business cycles , Labor market | ||||||||
Journal or Publication Title: | Journal of Money, Credit and Banking | ||||||||
Publisher: | Wiley-Blackwell Publishing, Inc. | ||||||||
ISSN: | 0022-2879 | ||||||||
Official Date: | September 2023 | ||||||||
Dates: |
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Volume: | 55 | ||||||||
Number: | 6 | ||||||||
Page Range: | pp. 1325-1356 | ||||||||
DOI: | 10.1111/jmcb.13011 | ||||||||
Status: | Peer Reviewed | ||||||||
Publication Status: | Published | ||||||||
Access rights to Published version: | Open Access (Creative Commons) | ||||||||
Date of first compliant deposit: | 12 July 2022 | ||||||||
Date of first compliant Open Access: | 1 February 2023 | ||||||||
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