Models and Measurement: (S,s) Inventories and Investment Under Adjustment Costs

模型和测量：(S,s) 调整成本下的库存和投资

• 批准号: 0318163
• 负责人: Julia Thomas
• 金额: $ 20.65万
• 依托单位: University of Minnesota-Twin Cities
• 依托单位国家: 美国
• 项目类别: Continuing Grant
• 财政年份: 2003
• 资助国家: 美国
• 起止时间: 2003-08-01 至 2006-07-31
• 项目状态: 已结题
• 来源: https://www.nsf.gov/awardsearch/showAward?AWD_ID=0318163&HistoricalAwards=false
• 关键词: Models; Measurement; Inventories; Investment; Under

This proposal includes two projects exploring the relation between adjustment costs and investment. Each uses new models and methods to examine questions central to understanding how the economy changes over time. The first project, joint with Aubhik Khan of the Federal Reserve Bank of Philadelphia, considers the question: "Do inventories exacerbate the business cycle?" It examines the aggregate implications of endogenous generalized (S,s) inventory investment, focusing on inventories of intermediate goods in a dynamic stochastic general equilibrium model with capital accumulation. First, the model's ability to reproduce observed cyclical relations between inventory investment, final sales and production is assessed. Next, the effects of such inventories for the overall business cycle are studied. The second project considers, "How do differing assumptions about firms' discount rates influence structural estimates of capital adjustment costs?" It explores a researcher's ability to estimate adjustment costs and explain the volatility and persistence of investment fluctuations under varying assumptions about the relation between the process governing shocks to firms' profits and that governing their intertemporal profit valuations. Both projects involve considerable heterogeneity across plants. This makes the determination of equilibrium prices difficult, due to the standard feedback of decision rules through prices. Equilibrium prices are solved by allowing agents' to forecast the future state using a subset of the aggregate state vector. Firms' decision rules, which are highly nonlinear, are solved using multivariate spline interpolation.Intellectual Merits: The topic of inventories has long been prominent in discussions of the business cycle, yet it has been largely ignored by modern business cycle theory. Most macroeconomic inventory research has focused on linear quadratic representative firm models that are partial equilibrium by design and generally disappointing in their empirical predictions. By contrast, the leading microeconomic model of inventories, the (S,s) model originally solved by Scarf (1960), has received almost no macroeconomic attention. The project corrects this important omission.Broader Impacts: The research may substantially alter policymakers' understanding of the role of inventories in aggregate fluctuations. For example, preliminary results suggest that recent advances in inventory management, in reducing the size of average stocks, may be responsible for dampened business cycles. When these stocks arise from nonconvex ordering or delivery costs, a reduction in such frictions that leads to reduced average inventory-sales ratios and dampened fluctuations in inventory investment may actually raise the overall volatility in GDP, because reduced inventory accumulation is accompanied by larger fluctuations in final sales.

该建议包括两个项目，探讨调整成本与投资之间的关系。每个人都使用新的模型和方法来研究中心的问题，以了解经济如何随时间变化。第一个项目是费城联邦储备银行的Aubhik Khan联合，它考虑了一个问题：“库存会加剧商业周期吗？”它研究了内源性广义（S，S）库存投资的总含义，重点介绍了具有资本积累的动态随机通用平衡模型中的中间商品的库存。首先，评估了该模型在库存投资，最终销售和生产之间复制观察到的周期性关系的能力。接下来，研究了此类库存对整个商业周期的影响。 第二个项目认为：“关于公司折现率的不同假设如何影响资本调整成本的结构性估计？”它探讨了研究人员估计调整成本的能力，并解释了投资波动的波动和持续性，这些假设在不同的假设下对企业与公司利润的关系之间的关系以及管理其跨期利润估值之间的关系。这两个项目都涉及各种植物的相当异质性。由于价格通过价格对决策规则的标准反馈，这使得确定平衡价格很困难。 通过允许代理商使用总国家向量的子集预测未来状态，可以解决平衡价格。 高度非线性的公司的决策规则是使用多元样条插值来解决的。智能优点：库存的主题在商业周期的讨论中一直很突出，但是现代商业周期理论在很大程度上被忽略了。大多数宏观经济库存研究都集中在线性二次代表性企业模型上，这些模型是通过设计而局部平衡的，并且通常对其经验预测感到失望。相比之下，库存的领先微观经济模型，最初由Scarf（1960）解决的（S，S）模型几乎没有受到宏观经济的关注。该项目纠正了这一重要的遗漏。公民的影响：研究可能会大大改变决策者对库存在总波动中的作用的理解。 例如，初步结果表明，库存管理的最新进展，减少了普通股票的规模，可能导致业务周期衰减。当这些股票是由非convex订购或交付成本引起的时，这种摩擦的降低会导致平均库存销售比率降低和库存投资的衰减衰减可能会增加GDP的总体波动性，因为库存积累的减少会伴随着最终销售的较大波动。