期刊名称：Discussion Papers / Department of Economics, University of Essex
出版年度：2007
卷号：2007
出版社：University of Essex
摘要：This paper employs a dynamic stochastic general equilibrium model with a
financial market friction to rationalize the empirically observed negative
relationship between inflation and total factor productivity (TFP).
Specifically, an empirical analysis of US macroeconomic time series establishes
that there is a negative causal effect of inflation on aggregate productivity.
Rather than taking the productivity process as exogenous, the model is therefore
set up to feature an endogenous component of TFP. This is achieved by allowing
physical investment to be channelled into two distinct technologies: a safe, but
return-dominated technology and a superior technology which is subject to
idiosyncratic liquidity risk. An agency problem prevents complete insurance
against liquidity risk, and the scope for insurance is endogenously determined
via the relevant liquidity premium. Since the liquidity premium is positively
related to the rate of inflation, the model demonstrates how nominal
fluctuations have an influence not only on the overall amount, but also on the
qualitative composition of aggregate investment and hence on TFP. The
quantitative relevance of the underlying transmission mechanism which links
nominal fluctuations to TFP via corporate liquidity holdings and the composition
of aggregate investment is corroborated by means of the quantitative analysis of
the calibrated model economy as well as a detailed analysis of industry-level
and firm-level panel data. Notably, the empirical findings are consistent with
both the properties of the agency problem postulated in the theoretical model
and its implications for corporate liquidity holdings and physical investment
portfolios.
