Adjustment costs of investment in general equilibrium: analytic results
Division of Research & Statistics and Monetary Affairs, Federal Reserve Board, 1998 - Business & Economics - 36 pages
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adjustment cost parameter Adjustment Costs Phi auxiliary parameter Brian Sack capital accumulation equation capital stock Cobb-Douglas constant relative risk consumption and investment convex combination deﬁne degree of adjustment Economics Discussion Series economy effective adjustment cost effective degree elastic labor supply equation as follows Equilibrium extends the model Federal Reserve Board Finance and Economics ﬁrst ﬁrst-order conditions four parameters identiﬁcation problem increase in F increase the persistence inelastic inﬁnite intertemporal Euler equation investment adjustment costs Jinill Kim justment Costs labor supply elasticity labor-leisure choice linear capital accumulation linearized national income logarithmic utility Monetary Policy national income identity nonlinear capital accumulation nonlinear national income nonlinear transformation observationally equivalent permanent income hypothesis Persistence and Volatility Phillips Curve production possibility frontier quadratic relative risk aversion risk aversion parameter robust second-order difference equation substitution between investment technology shock transformation between consumption transformation parameter unit root utility function volatility properties Volatility with respect zero