The interest rate, learning, and inventory investment

• 成果类型: Article
• 署名作者: Maccini, LJ; Moore, BJ; Schaller, H
• 署名单位: Johns Hopkins University; Fordham University; Carleton University
• 刊物名称: AMERICAN ECONOMIC REVIEW
• ISSN/ISSBN: 0002-8282
• DOI: 10.1257/0002828043052295
• 发表日期: 2004
• 页码: 1303-1327
• 关键词: production-smoothing model; VARIANCE BOUNDS TEST; BEHAVIOR; sales

摘要

This paper presents a model that provides an explanation, based on regime switching in the real interest rate and learning, of why tests based on stock-adjustment models, Euler equations, or decision rules-which emphasize short-run fluctuations in inventories and the interest rate-are unlikely to uncover a negative relationship between inventories and the real interest rate. The model, however, predicts that inventories will respond to long-run movements, that is, to regime shifts in the real interest rate. Tests emphasizing cointegration techniques confirm this prediction and show a significant long-run relationship between inventories and the real interest rate.