Temporal Aggregation, Aggregate Consumpution, Asset Returns

本项目的目的是分析动态的合作， 总消费量、总产出、 产成品和资产返还。 分析在 在理论和经验层面上，利用最近的进展， 线性和非线性有理函数的表示和估计 期望模型 该项目包括两个部分。 第一部分论述 参数一般均衡模型，可以 用来检验不同的总消费、总收入 在一个统一的框架内实现资产收益。 项目 评估质量标准误差的定量影响， 结果当代理人作出消费和投资组合决策时， 比数据采样间隔更精细的时间间隔。 分析的重点是时间的意义 永久收入测试背景下的汇总偏差 假说与跨期资本资产定价模型。 第二部分探讨了社会主义市场经济的结构决定因素 库存、销售和相对价格。 对于大多数行业来说， 销售格兰杰导致存货，但存货不格兰杰 因为销售。 这是令人费解的角度来看，任何 均衡理论，竞争或不竞争，其中库存 投资和销售是共同决定的随机过程。 该项目研究了这些格兰杰因果关系 结果是固有的信号提取问题的伪影 在将向量自回归拟合到库存和销售数据时， 其被测量误差污染。

The purpose of this project is to analyze the dynamic co- movements of aggregate consumption, output, inventories of finished goods and asset returns. The analysis is conducted at both a theoretical and empirical level using recent advances in the formulation and estimation of linear and nonlinear rational expectations models. The project consists of two parts. The first part discusses classes of parametric general equilibrium models which can be used to test different theories of aggregate consumption, income and asset returns within a unified framework. The project evaluates the quantitative impact of the specification error that results when agents make consumption and portfolio decisions at intervals of time that are finer than the data sampling interval. The analysis is focused on the significance of temporal aggregation bias in the context of tests of the Permanent Income Hypothesis and the Intertemporal Capital Asset Pricing Model. The second part investigates the structural determinants of inventories, sales and relative prices. For most industries, sales Granger cause inventories but inventories do not Granger cause sales. This is puzzling from the perspective of any equilibrium theory, competitive or not, in which inventory investment and sales are jointly determined stochastic processes. The project studies the possibility that these Granger causality results are artifacts of the signal extraction problem inherent in fitting vector autoregressions to inventory and sales data which are polluted by measurement errors.