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

提出的研究探讨了非时间可分偏好和技术的经济含义。本研究的动机是基于对时间可分常数相对风险厌恶效用函数和不可时间可分函数的频谱效用的经验。谱效用函数将代理对消费平滑的偏好按频率分解为对特定类型平滑的偏好。低频的平滑（长期运行）可能比高频的平滑更重要或更不重要。对于时间可分的偏好，效用不随频率而变化，但对于非时间可分的情况，效用会随频率而变化。这对我们打算研究的各种经济现象都有影响。我们将考虑具有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；当收益序列相关和/或偏好在时间上不可分离时，最优投资组合配置、基金分离和其他结果需要修改。我们期望像Hansen-Jagannathan边界这样的评估工具的光谱特性将为经济模型的行为提供额外的见解，即使偏好是时间可分离的。最后，我们将探讨这些设备对于评估使用构建时间和其他技术的商业周期模型的成败是否有用。

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.