Temporal Aggregation, Aggregate Consumpution, Asset Returns

这个项目的目的是分析总消费、产出、产成品库存和资产回报的动态协同运动。这一分析是在理论和经验层面上进行的，使用了线性和非线性理性预期模型的制定和估计方面的最新进展。该项目由两部分组成。第一部分讨论了几类参数一般均衡模型，这些模型可以用来在统一的框架内检验总消费、收入和资产回报的不同理论。该项目评估了当代理商在比数据采样间隔更精细的时间间隔做出消费和投资组合决策时所导致的规格错误的量化影响。分析的重点是在检验永久收入假说和跨期资本资产定价模型的背景下，时间聚集偏差的意义。第二部分考察了库存、销售和相对价格的结构性决定因素。对于大多数行业，销售格兰杰导致库存，但库存不导致销售格兰杰。从任何均衡理论的角度来看，这都是令人费解的，无论竞争与否，在均衡理论中，库存投资和销售都是共同决定的随机过程。该项目研究的可能性是，这些格兰杰因果关系结果是信号提取问题的产物，该问题是对受测量误差污染的库存和销售数据进行向量自回归拟合所固有的问题。

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.