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 1061859 摘要 最近的美国经济衰退重新激发了人们对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，这些模型从企业之间的生产率、资本、库存和债务等方面的差异中抽象出来。 如此丰富的差异可能对于调和实证观察非常重要，即美国经济中的平均企业不需要借款来为其投资融资，而人们普遍认为信贷供应的变化对 2007 年至 2009 年的经济衰退有重要影响。该提案探讨了生产异质性、离散选择和总体波动之间的关系。 该项目旨在开发和研究定量动态随机一般均衡模型，以更好地理解实际和金融冲击后的经济波动机制，以及库存在商业周期各个阶段的作用。该提案两部分的核心都是宏观经济模型，各公司在生产率、资本、库存和债务方面具有丰富的异质性。 这种异质性意味着企业的多维分布会影响经济的总体状态，从而影响经济波动。最近美国和国外发生的实体经济和金融危机促使研究人员尝试将金融因素纳入通常用于研究总体波动的标准模型中。 在此之前，对于信贷供应的变化如何影响宏观经济总量（例如在完全明确的环境下的商业投资和生产）的定量研究还很少。 项目 1，具有生产异质性的经济体中的信贷冲击和总体波动，其处理该主题的方法是独特的，它导出了一个内生生产率通道，通过该通道信贷分配的变化可以影响企业生产率不同的环境中的总体动态、资本和债务。 现有的研究通常忽略了微观经济数据中明显的企业间丰富的异质性。 如果这种异质性影响宏观经济变量的演变，那么这是一个重要的遗漏。 相比之下，该项目明确包含了在生产力持续异质性的环境中阻碍企业间资本重新分配的实际摩擦，以重现显着的微观投资模式。 与抵押借款安排一起，这些因素意味着影响总生产、投资和就业的企业分布广泛。这种分布在应对总体冲击时缓慢演变，并且本身也延长了经济对此类冲击的整体反应。库存投资在经济周期和较高频率下都具有高度波动性。 然而，该系列在两个频段上的表现却截然不同。 它随着商业周期频率的最终销售而呈正向变化，而随着短期内的销售而呈负向变化。 这些相互冲突的模式对现有的微观库存模型提出了挑战。 项目 2“库存、特殊冲击和总体波动”旨在克服这一挑战。 该项目致力于开发一个简单的 DSGE 模型，当其参数受到总体和公司级数据的约束时，该模型可以适应两组规律，并且库存决策规则是由于 (S,s) 动机而内生导出的。了解现实和金融摩擦如何影响现代发达经济体生产投入的分配，以及这种分配如何影响对实际和金融冲击的总体反应，将加深政策制定者对经济波动的理解。 反过来，这将帮助他们更好地预测经济周期的各个阶段，更有效地评估各种政策方案的需求，并权衡竞争政策的相对优点。 项目 1 的初步研究结果表明，信贷冲击后企业分布的演变可能会导致经济活动大幅、逐渐下降，并减缓随后的复苏。 该模型预测了信贷冲击与非金融冲击后 GDP 和其他宏观经济变量的反应存在明显差异，因此可能为政策制定者提供一个有价值的工具。 通过区分对冲击的反应，它可以帮助确定衰退的主要根源，从而帮助他们确定应该实施哪些政策（如果有的话）来最好地促进经济增长和稳定。分析师和政策制定者非常重视库存投资，因为经济状况的信号。 目前还没有一个微观基础的、同时与库存的短期行为和经济周期行为相一致的、可用于政策分析的定量经济周期模型。 项目 2 就是为了解决这个问题而做出的努力。 它的成功完成将扩大政策制定者解释库存持续变动的能力，以及他们对库存如何影响和预测其他关键宏观经济系列变动的理解。