Comovement, excess volatility, and home production

Yong Sung 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 Jan 1

Fingerprint

Excess volatility
Home production
Comovement
Substitute
Consumer expenditure
Anomaly
Household expenditure
Leisure
Opportunity cost
Expenditure shares
Capital accumulation
Adjustment costs

All Science Journal Classification (ASJC) codes

  • Finance
  • Economics and Econometrics

Cite this

Chang, Yong Sung. / Comovement, excess volatility, and home production. In: Journal of Monetary Economics. 2000 ; Vol. 46, No. 2. pp. 385-396.
@article{df3b72f6ba0b4f38bdcbad3681b03fa4,
title = "Comovement, excess volatility, and home production",
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.",
author = "Chang, {Yong Sung}",
year = "2000",
month = "1",
day = "1",
doi = "10.1016/S0304-3932(00)00026-X",
language = "English",
volume = "46",
pages = "385--396",
journal = "Journal of Monetary Economics",
issn = "0304-3932",
publisher = "Elsevier",
number = "2",

}

Comovement, excess volatility, and home production. / Chang, Yong Sung.

In: Journal of Monetary Economics, Vol. 46, No. 2, 01.01.2000, p. 385-396.

Research output: Contribution to journalArticle

TY - JOUR

T1 - Comovement, excess volatility, and home production

AU - Chang, Yong Sung

PY - 2000/1/1

Y1 - 2000/1/1

N2 - 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.

AB - 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.

UR - http://www.scopus.com/inward/record.url?scp=0006601447&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=0006601447&partnerID=8YFLogxK

U2 - 10.1016/S0304-3932(00)00026-X

DO - 10.1016/S0304-3932(00)00026-X

M3 - Article

VL - 46

SP - 385

EP - 396

JO - Journal of Monetary Economics

JF - Journal of Monetary Economics

SN - 0304-3932

IS - 2

ER -