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著作分類 IIRワーキングペーパー
著者 Nirei, Makoto
論文タイトル Interaction-based Foundation of Aggregate Investment Shocks
機関名 一橋大学イノベーション研究センター
ナンバー WP#13-04
公開日 2013/03/08
要旨 This paper demonstrates that the interactions of rm-level indivisible investments give rise to aggregate uctuations without aggregate exogenous shocks. I develop a method to derive the distribution of the aggregate capital growth rate by embedding a ctitious tatonnement in a branching process. This method shows that idiosyncratic shocks may lead to non-vanishing aggregate uctuations when the number of rms tends to in nity. By incorporating this mechanism in a dynamic general equilibrium model with indivisible investment and sticky price, I provide the real business cycle theory with a driver of uctuations: aggregate investment demand shocks that arise from idiosyncratic productivity shocks. Due to predetermined prices of goods, firms respond to investment shocks by adjusting labor and output, thereby causing the comovements of output and consumption with investment. Numerical simulations show that the model generates aggregate uctuations comparable to the business cycles in magnitude and correlation structure under standard calibration.
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登録日 2013/03/12

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