Empirical evidence on the Euler equation for investment in the US

DOI

Is the typical specification of the Euler equation for investment employed in DSGE models consistent with aggregate macro data? The answer is yes using state-of-the-art econometric methods that are robust to weak instruments and exploit information in possible structural changes. Unfortunately, however, there is very little information about the values of the parameters in aggregate data because investment is unresponsive to changes in capital utilization and the real interest rate. Bayesian estimation using fully-specified DSGE models is more accurate due to both informative priors and cross-equation restrictions.

Identifier
DOI https://doi.org/10.15456/jae.2023285.0935583742
Metadata Access https://www.da-ra.de/oaip/oai?verb=GetRecord&metadataPrefix=oai_dc&identifier=oai:oai.da-ra.de:778537
Provenance
Creator Maschietto Magnusson, Leandro; Ascari, Guido; Haque, Qazi; Mavroeidis, Sophocles
Publisher ZBW - Leibniz Informationszentrum Wirtschaft
Publication Year 2023
Rights Creative Commons Attribution 4.0 (CC-BY); Download
OpenAccess true
Contact ZBW - Leibniz Informationszentrum Wirtschaft
Representation
Language English
Resource Type Collection
Discipline Economics