Time-to-produce, inventory, and asset prices

• 成果类型: Article
• 署名作者: Chen, Zhanhui
• 署名单位: Nanyang Technological University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2016.01.006
• 发表日期: 2016
• 页码: 330-345
• 关键词: time-to-build; Time-to-produce; inventory; recursive preferences; asset prices

摘要

Time-to-build, time-to-produce, and inventory have important implications for asset prices and quantity dynamics in a general equilibrium model with recursive preferences. Time to -build captures the delay in transforming new investments into productive capital, and time-to-produce captures the delay in transforming productive capital into output. Both delays increase risks in that time-to-build generates procyclical payouts, whereas the time to -produce amplifies this procyclicality. Inventory smooths consumption and helps capture interest rate volatility even when the elasticity of intertemporal substitution is small. The model is consistent with a high equity premium, a high stock return volatility, and lead-lag relations between asset prices and macroeconomic quantities. (C) 2016 Elsevier B.V. All rights reserved.