Production Heterogeneity, the Allocation of Credit, and Aggregate Fluctuations

生产异质性、信贷配置和总体波动

• 批准号: 1061859
• 负责人: Julia Thomas
• 金额: $ 25.15万
• 依托单位: Ohio State University
• 依托单位国家: 美国
• 项目类别: Standard Grant
• 财政年份: 2011
• 资助国家: 美国
• 起止时间: 2011-09-01 至 2014-08-31
• 项目状态: 已结题
• 来源: https://www.nsf.gov/awardsearch/showAward?AWD_ID=1061859&HistoricalAwards=false
• 关键词: Production; Heterogeneity; Allocation; Credit; Aggregate

Abstract for NSF Proposal 1061859The most recent U.S. recession has revitalized interest in business cycle research, while simultaneously challenging the predictions of existing macroeconomic models that abstract from differences across firms in aspects such as their productivity, capital, inventories and debt. Such rich differences may be important toward reconciling the empirical observation that the mean firm in the U.S. economy does not need to borrow to finance its investment with the widespread view that changes in the availability of credit had an important influence on the 2007 - 2009 recession.This proposal explores the relation between production heterogeneity, discrete choices and aggregate fluctuations. The project seeks to develop and examine quantitative dynamic stochastic general equilibrium models to better understand the mechanics of economic fluctuations following real and financial shocks, and the role of inventories at various stages of the business cycle. At the heart of both parts of the proposal are macroeconomic models with rich heterogeneity across firms with respect to productivity, capital, inventories and debt. Such heterogeneity implies a multi-dimensional distribution of firms that affects the aggregate state of the economy, and thus economic fluctuations. The recent real and financial crisis in the U.S. and abroad has driven researchers to try to integrate financial factors into standard models commonly used to study aggregate fluctuations. Before now, there has been little quantitative research on the channels through which changes in the availability of credit influence macroeconomic aggregates like business investment and production in a fully articulated setting. Project 1, Credit shocks and aggregate fluctuations in an economy with production heterogeneity, is unique in its approach to the topic, deriving an endogenous productivity channel through which changes in the allocation of credit can influence aggregate dynamics in an environment where firms differ in their productivities, capital, and debt. Existing research has generally abstracted from the rich heterogeneity across firms evident in microeconomic data. This is an important omission if such heterogeneity affects the evolution of macroeconomic variables. By contrast, this project explicitly includes a real friction hindering capital reallocation across firms in a setting with persistent productivity heterogeneity to reproduce salient micro-level investment patterns. Taken alongside collateralized borrowing arrangements, these elements imply a rich distribution of firms shaping total production, investment, and employment. That distribution evolves slowly in response to aggregate shocks, and itself protracts the economy's overall response to such shocks. Inventory investment is highly volatile, both in business cycles and at higher frequencies. However, the series behaves quite differently over the two frequency bands. It moves positively with final sales at business cycle frequencies, while it moves negatively with sales over the short term. These conflicting patterns represent a challenge for existing micro-founded models of inventories. Project 2, Inventories, idiosyncratic shocks, and aggregate fluctuations, seeks to overcome the challenge. This project works to develop a single parsimonious DSGE model that can accommodate both sets of regularities when its parameters are disciplined by aggregate and firm-level data and inventory decision rules are endogenously derived as the result of an (S,s) motive.An increased understanding of the ways in which real and financial frictions shape the distributions of productive inputs in modern developed economies, alongside the ways in which such distributions affect aggregate responses to real and financial shocks, will deepen policymakers' understanding of economic fluctuations. This, in turn, will help them to better anticipate the stages of the business cycle and to more effectively evaluate the need for various policy prescriptions and weigh the relative merits of competing policies. Preliminary findings in Project 1 indicate that the evolution of the distribution of firms following a credit shock can cause a large, gradual decline in economic activity and slow subsequent recovery. The model predicts clear differences in the responses of GDP and other macroeconomic variables following a credit shock versus a nonfinancial shock, and thus may offer policymakers a valuable tool. By distinguishing the responses to shocks, it can help identify the primary source of a recession and thus help them to determine which, if any, policies should be implemented to best promote economic growth and stabilization.Analysts and policymakers place enormous emphasis on inventory investment as signal of economic conditions. There is no micro-founded quantitative business cycle model simultaneously consistent with the short-term and business cycle behavior of inventories for use in policy analysis as yet. Project 2 is an effort to correct this problem. Its successful completion will expand policymakers' ability to interpret ongoing movements in inventories and their understanding of how they influence and predict movements in other key macroeconomic series.

NSF提案的摘要1061859美国最近的衰退振兴了商业周期研究的兴趣，同时挑战了现有宏观经济模型的预测，这些预测从公司生产力，资本，清单和债务等方面的差异中抽象出来。 这种丰富的差异可能对于和解经验观察可能很重要，即美国经济中的平均公司无需借贷即可以广泛的看法为投资提供资金，即信贷可用性的变化对2007- 2009年的经济衰退产生了重要影响。该提案探讨了生产异质性，离散选择和聚集的相关性。 该项目旨在开发和检查定量动态随机通用平衡模型，以更好地了解实际和财务冲击后经济波动的机制，以及库存在商业周期的各个阶段的作用。提案的两个部分的核心是宏观经济模型，在生产力，资本，库存和债务方面，公司之间具有丰富的异质性。 这种异质性意味着影响经济总体状况以及经济波动的公司的多维分布。最近在美国和国外的现实金融危机和金融危机促使研究人员试图将财务因素整合到通常用于研究总体波动的标准模型中。 在此之前，几乎没有关于渠道的定量研究，通过这些渠道的可用性会影响宏观经济汇总，例如商业投资和在完全明确的环境中。 项目1，具有生产异质性的经济中的信用冲击和总体波动，其对该主题的方法是独一无二的，得出了一个内源性生产力渠道，通过该渠道，信贷分配的变化会影响公司生产率，资本和资本和债务不同的环境中的总体动态。 现有的研究通常是从微观数据中明显的公司的丰富异质性中抽象出来的。 如果这种异质性影响宏观经济变量的演变，这是一个重要的遗漏。 相比之下，该项目在具有持续的生产力异质性的环境中明确包括阻碍跨公司的资本重新分配的真正摩擦，以再现出显着的微观投资模式。 这些要素与抵押借贷安排同时进行，这意味着塑造总生产，投资和就业的公司的丰富分配。这种分布会响应总体冲击而缓慢地演变，并且本身会拖延经济对这种冲击的总体反应。库存投资在业务周期和较高频率上都非常波动。 但是，该系列在两个频带上的行为差异很大。 它在商业周期频率下的最终销售方面取得了积极的态度，而在短期内销售负面影响。 这些相互矛盾的模式代表了现有的库存模型的挑战。 项目2，库存，特质冲击和总体波动，试图克服挑战。 该项目致力于开发一个单一的dsge模型，该模型可以适应两组规律性，当其参数受到汇总和公司级别的数据和企业级别的数据和库存决策规则的纪律时，作为（s，s）动机的结果，内源性地衍生出来。对现代经济造成的经济性和财务的分配，对经济的分配以及对现代经济的分配的发展，并影响了现代经济的投入，并影响了现代经济的投入，而这些经济的投入构成了构成的经济性，这些差异是对实现的投入，而这些差异是对实现的投入，而这些差异是在实现的，那么对实现了何种方式，而构成了对实现的投入，而这些差异是对实现的投入。冲击，将加深决策者对经济波动的理解。 反过来，这将帮助他们更好地预期商业周期的阶段，并更有效地评估对各种政策处方的需求，并权衡竞争政策的相对优点。 项目1中的初步发现表明，信用冲击后公司分配的演变可能导致经济活动逐渐下降，随后恢复缓慢。 该模型预测，在信用冲击和非财务冲击之后，GDP和其他宏观经济变量的响应明显差异，因此可能会为决策者提供有价值的工具。 通过区分对冲击的反应，它可以帮助确定经济衰退的主要来源，从而帮助他们确定应采取哪些政策来实施哪些政策，以最好地促进经济增长和稳定。分析师和决策者将库存投资重点放在了经济条件的信号中。 尚无与库存在政策分析中使用的库存的短期和商业周期行为同时同时具有微型定量商业周期模型。 项目2是为了纠正此问题的努力。 它的成功完成将扩大决策者解释库存中持续运动的能力，以及他们对他们如何影响和预测其他关键宏观经济系列中的运动的理解。