We examine the relation between inventory investment and the cost of capital in a theoretical model and empirically using data from 1958 to 2006. We construct an equilibrium model of investment with two types of capital, fixed capital and inventory, and a pricing kernel that generates a countercyclical price of risk. In our calibrated economy, we find that inventory investment is negatively related to the equity risk premium, whose fluctuations account for approximately 80% of the variation in inventory investment. In support of this result, our empirical work documents that risk premia, rather than real interest rates, are strongly negatively related to future inventory growth. This relation is highly significant and robust to a number of variations in estimation method, inventory type, and risk premium proxy. Furthermore, the effect is stronger for durable goods, whose sales are highly procyclical, than for nondurables, and for industries whose sales are more procyclical. 本文来自辣.文~论^文·网原文请找腾讯3249.114
1 Introduction 竞选互动乒协实习会长演讲稿
As a form of investment, a firm’s optimal inventory stock should naturally be expected to vary with its cost of capital. At a macro level, we would expect aggregate inventory investment to vary with measures of the average cost of capital. One of the puzzling results from the empirical macroeconomic literature on inventories is the apparent lack of relation between the accumulation of inventories and the cost of capital, at least as proxied by short-term real interest rates. Maccini, Moore, and Schaller (2004) note that although there is a “perception of an inverse relationship between inventory investment and interest rates, ... almost no evidence exists for such an effect.”
The inability to relate inventory investment to the cost of capital is disconcerting given the importance of inventory investment over the business cycle. Table 1 shows that inventory investment, as a fraction of GDP, is more volatile than fixed investment or consumption, and it is strongly procyclical. As many other authors have noted, the typical decline in GDP during a recession is almost exactly accounted for by the contemporaneous decline in inventories. Understanding the cycles in inventories is therefore central to understanding the cycles in output. While many types of inventories, like food or tobacco, would appear to carry little systematic risk, other types may be risky for a number of reasons. The value of commodity-like inventories, for instance, might fluctuate substantially with macroeconomic growth. Other goods, like automobiles, which are held in finished goods inventory for longer amounts of time, may face considerable demand risk over the period from when they are produced until when they are sold. This demand risk may be even more substantial for work progress inventories of goods that require a substantial amount of time to produce. In contrast to risk premia, volatility in real rates was quite low over much of the post-war sample period. With a dataset covering 1953-1971, for instance, Fama (1975) fails to reject the hypothesis of constant ex ante real rates. While subsequent rates have proved significantly more volatile, it is possible that they may still represent the least volatile component of the average firm’s cost of capital. If inventories are sufficiently risky, then the variation in the real interest rate might be only weakly related to the appropriate cost of capital。2394