Asset Returns and Business Cycles in Models with Investment Adjustment Cost

Beaubrun-Diant, Kevin; Tripier, Fabien

Beaubrun-Diant, Kevin; Tripier, Fabien (2005), Asset Returns and Business Cycles in Models with Investment Adjustment Cost, Economics Letters, 86, 1, p. 141-146. http://dx.doi.org/10.1016/j.econlet.2004.07.007

Type

Article accepté pour publication ou publié

Date

2005

Journal name

Economics Letters

Volume

Number

Publisher

Elsevier

Pages

141-146

Abstract (EN)

We show that adjustment cost models with labor supply can explain both asset returns and business cycle facts when adjustment costs penalize the changes of investment. This conclusion stands in contrast to results obtained in the literature with adjustment costs that penalize the changes of capital.

Subjects / Keywords

Asset returns; Business cycle; Adjustment costs

JEL

E22 - Investment; Capital; Intangible Capital; Capacity
E32 - Business Fluctuations; Cycles
G12 - Asset Pricing; Trading Volume; Bond Interest Rates