Temporal Aggregation, Aggregate Consumpution, Asset Returns
{'Code': '04050100', 'Directorate': {'Abbreviation': 'SBE', 'LongName': 'Direct For Social, Behav & Economic Scie'}, 'Division': {'Abbreviation': 'SES', 'LongName': 'Divn Of Social and Economic Sciences'}}
{'SignBlockName': 'Daniel H. Newlon', 'PO_EMAI': None, 'PO_PHON': None}
The purpose of this project is to analyze the dynamic co-                       movements of aggregate consumption, output, inventories of                      finished goods and asset returns.  The analysis is conducted at                 both a theoretical and empirical level using recent advances in                 the formulation and estimation of linear and nonlinear rational                 expectations models.                                                                                                                                            The project consists of two parts.  The first part discusses                    classes of parametric general equilibrium models which can be                   used to test different theories of aggregate consumption, income                and asset returns within a unified framework.  The project                      evaluates the quantitative impact of the specification error that               results when agents make consumption and portfolio decisions at                 intervals of time that are finer than the data sampling interval.               The analysis is focused on the significance of temporal                         aggregation bias in the context of tests of the Permanent Income                Hypothesis and the Intertemporal Capital Asset Pricing Model.                                                                                                   The second part investigates the structural determinants of                     inventories, sales and relative prices.  For most industries,                   sales Granger cause inventories but inventories do not Granger                  cause sales.  This is puzzling from the perspective of any                      equilibrium theory, competitive or not, in which inventory                      investment and sales are jointly determined stochastic processes.               The project studies the possibility that these Granger causality                results are artifacts of the signal extraction problem inherent                 in fitting vector autoregressions to inventory and sales data                   which are polluted by measurement errors.
{'FirstName': 'Martin', 'LastName': 'Eichenbaum', 'PI_MID_INIT': None, 'PI_SUFX_NAME': None, 'PI_FULL_NAME': 'Martin Eichenbaum', 'EmailAddress': None, 'NSF_ID': '000382988', 'StartDate': '04/01/1988', 'EndDate': None, 'RoleCode': 'Principal Investigator'}
{'Name': 'Carnegie-Mellon University', 'CityName': 'PITTSBURGH', 'ZipCode': '152133815', 'PhoneNumber': '4122688746', 'StreetAddress': '5000 FORBES AVE', 'StreetAddress2': None, 'CountryName': 'United States', 'StateName': 'Pennsylvania', 'StateCode': 'PA', 'CONGRESSDISTRICT': '18', 'CONGRESS_DISTRICT_ORG': 'PA18', 'ORG_UEI_NUM': 'U3NKNFLNQ613', 'ORG_LGL_BUS_NAME': 'CARNEGIE MELLON UNIVERSITY', 'ORG_PRNT_UEI_NUM': 'U3NKNFLNQ613'}
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{'Code': '1320', 'Text': 'Economics'}
{'url': 'https://www.nsf.gov/awardsearch/download?DownloadFileName=1987&All=true', 'xml': '8720810.xml'}