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Modeling inventories over the business cycle

Khan, Aubhik; Thomas, Julia K. - Federal Reserve Bank of Minneapolis - 2004

We evaluate two leading models of aggregate fluctuations with inventories in general equilibrium: the (S,s) model and … the stockout avoidance model. Each is judged by its ability to explain the observed magnitude of inventories in the U … correlation with sales. We find that the (S,s) model is far more consistent with the behavior of aggregate inventories in the …

Persistent link: https://www.econbiz.de/10004993835

Inventories and the business cycle: an equilibrium analysis of (S,s) policies

Khan, Aubhik; Thomas, Julie K. - Federal Reserve Bank of Minneapolis - 2003

comovement between inventory investment and final sales is often interpreted as evidence that inventories amplify aggregate … inventories, though we do observe somewhat higher variability in employment, and lower variability in consumption and investment …. Thus, our equilibrium analysis reveals that the presence of inventories does not substantially raise the cyclical …

Persistent link: https://www.econbiz.de/10005712358

(S,s) inventory policies in general equilibrium

Fisher, Jonas D.M.; Hornstein, Andreas - Federal Reserve Bank of Minneapolis - 1995

We study the aggregate implications of (S,s) inventory policies in a dynamic general equilibrium model. Firms in the model's retail sector face idiosyncratic demand risk, and (S,s) inventory policies are optimal because of fixed order costs. The model economy replicates salient features of the...

Persistent link: https://www.econbiz.de/10005498985

The magnitude of the speculative motive for holding inventories in a real business cycle model

Christiano, Lawrence J.; Fitzgerald, Terry J. - Federal Reserve Bank of Minneapolis - 1989

The motive to hold inventories purely in the hope of profiting from a price increase is called the speculative motive … implication for how large it is quantitatively. This paper incorporates the speculative motive for holding inventories into an … of the speculative role for holding inventories in this model is quite small. This suggests the possibility that the …

Persistent link: https://www.econbiz.de/10005498988

Search in asset markets

Lagos, Ricardo; Rocheteau, Guillaume - Federal Reserve Bank of Minneapolis - 2006

We investigate how trading frictions in asset markets affect portfolio choices, asset prices and efficiency. We generalize the search-theoretic model of financial intermediation of Duffie, Gârleanu and Pedersen (2005) to allow for more general preferences and idiosyncratic shock structure,...

Persistent link: https://www.econbiz.de/10005367651

Temptation and self-control: some evidence and applications

Huang, Kevin X. D.; Liu, Zheng; Zhu, Qi - Federal Reserve Bank of Minneapolis - 2006

This paper studies the empirical relevance of temptation and self-control using household-level data from the Consumer Expenditure Survey. We estimate an infinite-horizon consumption-savings model that allows, but does not require, temptation and self-control in preferences. To help identify the...

Persistent link: https://www.econbiz.de/10005367653

On the need for a new approach to analyzing monetary policy

Atkeson, Andrew; Kehoe, Patrick J. - Federal Reserve Bank of Minneapolis - 2008

We present a pricing kernel that summarizes well the main features of the dynamics of interest rates and risk in postwar U.S. data and use it to uncover how the pricing kernel has moved with the short rate. Our findings imply that standard monetary models miss an essential link between the...

Persistent link: https://www.econbiz.de/10004993824

Asset prices and liquidity in an exchange economy

Lagos, Ricardo - Federal Reserve Bank of Minneapolis - 2006

I develop an asset-pricing model in which financial assets are valued for their liquidity - the extent to which they are useful in facilitating exchange - as well as for being claims to streams of consumption goods. The implications for average asset returns, the equity-premium puzzle and the...

Persistent link: https://www.econbiz.de/10004993836

Taxes, regulations, and asset prices

McGrattan, Ellen R.; Prescott, Edward C. - Federal Reserve Bank of Minneapolis - 2001

U.S. stock prices have increased much faster than gross domestic product GDP) in the postwar period. Between 1962 and 2000, corporate equity value relative to GDP nearly doubled. In this paper, we determine what standard growth theory says the equity value should be in 1962 and 2000, the two...

Persistent link: https://www.econbiz.de/10005726728

Fund managers, career concerns, and asset price volatility

Guerrieri, Veronica; Kondor, Peter - Federal Reserve Bank of Minneapolis - 2010

We propose a model of delegated portfolio management with career concerns. Investors hire fund managers to invest their capital either in risky bonds or in riskless assets. Some managers have superior information on the default probability. Looking at the past performance, investors update...

Persistent link: https://www.econbiz.de/10008498236