NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

What Explains the Lagged Investment Effect?

Janice C. Eberly, Sergio Rebelo, Nicolas Vincent

NBER Working Paper No. 16889
Issued in March 2011
NBER Program(s):   EFG

The best predictor of current investment at the firm level is lagged investment. This lagged-investment effect is empirically more important than the cash-flow and Q effects combined. We show that the specification of investment adjustment costs proposed by Christiano, Eichenbaum and Evans (2005) predicts the presence of a lagged-investment effect and that a generalized version of their model is consistent with the behavior of firm-level data from Compustat.

download in pdf format
   (585 K)

email paper

This paper is available as PDF (585 K) or via email.

This paper was revised on February 7, 2012

Machine-readable bibliographic record - MARC, RIS, BibTeX

Document Object Identifier (DOI): 10.3386/w16889

Published: Eberly, Janice & Rebelo, Sergio & Vincent, Nicolas, 2012. "What explains the lagged-investment effect?," Journal of Monetary Economics, Elsevier, vol. 59(4), pages 370-380. citation courtesy of

Users who downloaded this paper also downloaded these:
Eberly, Rebelo, and Vincent w13866 Investment and Value: A Neoclassical Benchmark
Bachmann and Bayer w16861 Investment Dispersion and the Business Cycle
Aizenman and Pasricha w16779 Net Fiscal Stimulus During the Great Recession
Justiniano, Primiceri, and Tambalotti w15570 Investment Shocks and Business Cycles
Abel and Eberly w5091 Optimal Investment with Costly Reversibility
 
Publications
Activities
Meetings
NBER Videos
Data
People
About

Support
National Bureau of Economic Research, 1050 Massachusetts Ave., Cambridge, MA 02138; 617-868-3900; email: info@nber.org

Contact Us