Autori
Tancioni, Massimiliano
Giuli, Francesco

Titolo
Firm-Specific Capital, Productivity Shocks and Investment Dynamics
Periodico
Università degli Studi di Roma "La Sapienza" - Dipartimento di Economia Pubblica. Working Paper
Anno: 2009 - Volume: 5 - Fascicolo: 120 - Pagina iniziale: 1 - Pagina finale: 33

The theoretical literature on business cycles predicts a positive investment response to productivity improvements. In this work we question this prediction from theoretical and empirical standpoints. We first show that a negative short-term response of investment to a positive technology shock is consistent with a plausibly parameterized new Keynesian DSGE model in which capital is firm-specific and monetary policy is not fully accommodative. Employing Bayesian techniques, we then provide evidence that permanent productivity improvements have short-term contractionary effects on investment. Even if this result emerges in both the firm-specific and rental capital specifications, only with the former the estimated average price duration is in line with microeconometric evidence. In the firm-specific capital model, strategic complementarity in price setting leads to a degree of price inertia which is higher than that implied by the frequency at which firms change their prices.



SICI: 1974-2940(2009)5:120<1:FCPSAI>2.0.ZU;2-4
Testo completo: http://dep.eco.uniroma1.it/docs/working_papers/WP120.pdf

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