If inventories are risky, then the real interest rate used in prior work may be a poor proxy for the relevant cost of capital. Over the last several decades, the asset pricing literature has documented substantial variation in risk premia, both in stock and bond returns, and this variation may dwarf that found in the real short- term interest rate. In bond markets, work starting with Fama and Bliss (1987) and Campbell and Shiller (1991) documented extensive levels of predictability in excess bond returns, much of it correlated with the term spread. In particular, Cochrane and Piazzesi (2005) find that up to 44% of the variation in one-year excess returns is predictable, suggesting that bond risk premia may change
浅析土地抛荒的原因以及治理对策论文答辩申请书 substantially from one month to the next. The literature on stock market predictability is no less convincing, having documenting significant variation in expected returns that is correlated with variables including the short-term interest rate, the dividend yield, and several interest rate spreads (e.g. Fama and Schwert (1977), Keim and Stambaugh (1986) and Fama and French (1989)). Recently, Jones and Tuzel (2010) find predictability in stocks and bonds using the ratio of new orders of durable goods to shipments of durable goods.本文来自辣.文~论^文·网原文请找腾讯32491'14
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.
An alternative explanation for the lack of any response to real interest rates is the presence of financing constraints. Kashyap, Stein, and Wilcox (1993) investigated this possibility at the aggregate level and found that a proxy for bank loan supply helps predict inventory growth. Studies examining inventory patterns and financial constraints in the cross section of firms include Gertler and Gilchrist (1994), Kashyap, Lamont, and Stein (1994), and Carpenter, Fazzari, and Petersen (1994). All three of these papers document some relationship between a firm’s balance sheet and its future inventory investment. Together, these results suggest that there is variation in the effective cost of capital that is not captured by observed short-term interest rates.
手工模拟实习做凭证报告Whether or not inventories are in fact risky and how they respond to changes in the cost of capital are issues we investigate directly in a theoretical model and indirectly in our empirical work. Our model builds off the classic dynamic production economy of Kydland and Prescott (1982) and Christiano (1988). In their model, production requires investment in both capital goods and inventories. Like Kydland and Prescott, we introduce a friction into the adjustment of the capital stock, but we replace Kydland and Prescott time-to-build constraint with a simple adjustment cost that has the effect of smoothing aggregate capital. Somewhat
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