Explaining Investment Dynamics in U.S. Manufacturing: A Generalized (S, s) Approach
构建了一个基于企业面临随机固定调整成本的聚合投资模型，用调整概率替代传统(S, s)带，能更好拟合美国制造业设备与建筑投资的非线性动态，对研究投资波动和宏观建模的学者有参考价值。
In this paper we derive a model of aggregate investment that builds from the lumpymicroeconomic behavior of firms facing stochastic fixed adjustment costs. Instead of theŽ.standard sharp S, s bands, firms’ adjustment policies take the form of a probability ofŽ.adjustment adjustment hazard that responds smoothly to changes in firms’ capacity gap.The model has appealing aggregation properties, and yields nonlinear aggregate timeseries processes. The passivity of normal times is, occasionally, more than offset by thebrisk response to large accumulated shocks. Using within and out-of-sample criteria, wefind that the model performs substantially better than the standard linear models ofinvestment for postwar sectoral U.S. manufacturing equipment and structures investmentdata.