Comovement, excess volatility, and home production

Yongsung Chang

Research output: Contribution to journalArticle

16 Citations (Scopus)

Abstract

Two investment anomalies in aggregate home-production models are investigated: excess volatility and comovement. Adjustment cost in capital accumulation reduces both volatility and the negative correlation in investments on capital goods in the market and at home. Investments comove to the extent that durable goods and time are good substitutes in consumption activities. Consumers substitute durable goods for time at home when the opportunity cost of time is high during booms. Based on the Consumer Expenditure Survey, I show that households' expenditure shares on durable goods are negatively associated with leisure, indicating that durable goods are relatively good substitutes for time.

Original languageEnglish
Pages (from-to)385-396
Number of pages12
JournalJournal of Monetary Economics
Volume46
Issue number2
DOIs
Publication statusPublished - 2000 Oct

All Science Journal Classification (ASJC) codes

  • Finance
  • Economics and Econometrics

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