Collaborative Research: Temporal Dependence and Economic Fluctuations -- A Spectral Investigation

合作研究：时间依赖性和经济波动——光谱调查

• 批准号: 0082237
• 负责人: Charles Whiteman
• 金额: $ 11.72万
• 依托单位: University of Iowa
• 依托单位国家: 美国
• 项目类别: Continuing Grant
• 财政年份: 2000
• 资助国家: 美国
• 起止时间: 2000-07-15 至 2003-06-30
• 项目状态: 已结题
• 来源: https://www.nsf.gov/awardsearch/showAward?AWD_ID=0082237&HistoricalAwards=false
• 关键词: Collaborative; Research; Temporal; Dependence; Economic

The proposed research explores the economic implications of non-time-separable preferences and technology. The research is motivated by experience with spectral utility for time-separable constant-relative-risk-aversion utility functions, as well as non-time-separable functions. Spectral utility functions decompose agents' preferences for consumption smoothness into preferences for particular types of smoothness by frequency. Smoothness at low frequencies (the long run) may be more or less important than smoothness at high frequencies. For time-separable preferences, utility does not vary by frequency, but for non-time-separable cases it does. This carries implications for a variety of economic phenomena that we propose to study. We will consider how models with habit formation in preferences produce observed equity premia and risk-free rates of return and whether such temporal nonseparabilities could play a role in explaining the "excess volatility" puzzle of stock prices. We will also analyze the implications for dynamic diversification; optimal portfolio allocation, fund separation, and other results require modification when returns are serially correlated and/or preferences are temporally nonseparable. We expect that the spectral properties of evaluation devices like the Hansen-Jagannathan bounds will provide additional insight into behavior of economic models even when preferences are time separable. Finally, we will explore whether or not these devices are useful for assessing the successes and failures of business cycle models that use time-to-build and other technologies.

拟议的研究探讨了非时间可分离的偏好和技术的经济影响。该研究的动机是时间可分离的常数相对风险厌恶效用函数，以及非时间可分离的函数的谱效用的经验。频谱效用函数将代理对消费平滑度的偏好分解为对特定类型的平滑度的偏好。 低频处的平滑度（长期）可能比高频处的平滑度更重要或更不重要。对于时间可分离的偏好，效用不随频率而变化，但对于非时间可分离的偏好，效用则随频率而变化。这对我们打算研究的各种经济现象都有影响。 我们将考虑偏好习惯形成的模型如何产生观察到的股票溢价和无风险收益率，以及这种时间不可分离性是否可以在解释股票价格的“过度波动”之谜中发挥作用。 我们还将分析动态多样化的影响，最优投资组合配置，基金分离，和其他结果需要修改时，回报率序列相关和/或偏好是暂时不可分离的。 我们期望，评估设备的频谱特性，如Hansen-Jagannathan界限，将提供额外的洞察经济模型的行为，即使偏好是时间可分离的。 最后，我们将探讨这些设备是否是有用的评估商业周期模型，使用时间来建立和其他技术的成功和失败。