Production Heterogeneity, the Allocation of Credit, and Aggregate Fluctuations

美国最近的经济衰退重新激发了人们对商业周期研究的兴趣，同时也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。这种巨大的差异对于调和美国经济中的普通企业不需要借钱为其投资融资的经验观察与信贷可获得性的变化对2007 - 2009年经济衰退有重要影响的普遍观点可能很重要。本文探讨了生产异质性、离散选择和总量波动之间的关系。该项目力求发展和审查定量动态随机一般均衡模型，以便更好地了解实际和金融冲击之后的经济波动机制，以及库存在商业周期不同阶段的作用。提案的两个部分的核心是宏观经济模型，这些模型在生产率、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况，从而影响经济波动。最近在美国和其他国家发生的经济危机和金融危机促使研究人员试图将金融因素整合到通常用于研究总体波动的标准模型中。在此之前，很少有定量研究表明，信贷可得性的变化是通过何种渠道影响商业投资和生产等宏观经济总量的。项目1，生产异质性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，它推导出一个内生的生产率渠道，通过该渠道，在企业生产率、资本和债务不同的环境中，信贷配置的变化可以影响总体动态。现有的研究一般是从微观经济数据中明显的企业之间丰富的异质性中抽象出来的。如果这种异质性影响宏观经济变量的演变，这是一个重要的遗漏。相比之下，本项目明确包含了在生产率持续异质性的背景下阻碍企业间资本重新配置的实际摩擦，以重现显著的微观投资模式。与担保借款安排一起，这些要素意味着企业的丰富分布，影响着总体生产、投资和就业。这种分配在应对总体冲击时演变缓慢，而且它本身也延长了经济对此类冲击的总体反应。库存投资是高度不稳定的，无论是在商业周期还是在更高的频率。然而，该级数在两个频带上的表现完全不同。它与商业周期频率下的最终销售额呈正相关，而与短期内的销售额呈负相关。这些相互冲突的模式对现有的微基础库存模型提出了挑战。项目二“库存、特殊冲击和总体波动”旨在克服这一挑战。本项目致力于开发一个简洁的DSGE模型，当其参数受到总量和企业层面数据的约束，库存决策规则作为（S， S）动机的结果内生衍生时，该模型可以容纳两组规则。进一步了解实际和金融摩擦如何影响现代发达经济体生产性投入的分配，以及这种分配如何影响对实际和金融冲击的总体反应，将加深决策者对经济波动的理解。反过来，这将有助于它们更好地预测商业周期的各个阶段，更有效地评估各种政策处方的必要性，并权衡相互竞争的政策的相对优点。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导致经济活动的大幅逐步下降和随后的缓慢复苏。该模型预测了GDP和其他宏观经济变量在信贷冲击和非金融冲击后的反应的明显差异，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来源，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强调库存投资是经济状况的信号。目前还没有一个微观经济周期定量模型同时符合短期和商业周期的库存行为，用于政策分析。项目2是纠正这个问题的努力。它的成功完成将扩大决策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。

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.