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Investment lags and macroeconomic dynamics

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  • Jung Yong-Gook

    (Department of Economics, Wayne State University, 656 W. Kirby Street, Detroit, MI 48202, USA)

Abstract

This study examines the dynamics and the fit of a time-to-build model. The benchmark model employs the investment adjustment cost specification of Christiano, Eichenbaum, and Evans (2005) and the alternative model utilizes the time-to-build specification of Casares (2006). The Bayesian estimation result conveys the following implications: In general, the time-to-build model generates similar dynamics as the benchmark model. But it does not improve the fit of the model to the data. The model comparison, based on marginal likelihood and simulation results, makes the benchmark model the winner of the horse race.

Suggested Citation

  • Jung Yong-Gook, 2015. "Investment lags and macroeconomic dynamics," The B.E. Journal of Macroeconomics, De Gruyter, vol. 15(1), pages 113-155, January.
    • Handle: RePEc:bpj:bejmac:v:15:y:2015:i:1:p:43:n:6
    DOI: 10.1515/bejm-2013-0180
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    References listed on IDEAS

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    More about this item

    Keywords

    Bayesian estimation; DSGE model; time-to-build;
    All these keywords.

    JEL classification:

    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • E22 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Investment; Capital; Intangible Capital; Capacity
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

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