I use conditional continuous wavelet tools to capture the co-movement, to identify the lead-lag relationship and to estimate its magnitude, considering private investment versus investment by federal government, as well as by state and local government in U.S. I use quarterly data for total investment to GDP, and disaggregated investment in structures, equipment, and intellectual property products. I use net saving to GDP, debt to GDP, growth, interest rate and CPI as instruments, to isolate the crowding in and crowding out effects. This approach enables me to revisit the relationship between investment decisions by private and public players over more than seventy years. I find unprecedented results varying over time and across a range of frequencies, controlled by different fiscal and monetary scenarios. I also analyze the results during recessionary and non-recessionary periods.
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