Replication data for: The Interest Rate, Learning, and Inventory Investment

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.

本文提出了一个模型，该模型基于实际利率的状态转换（regime switching）与学习机制，解释了为何基于库存调整模型（stock adjustment models）、欧拉方程（Euler equations）或决策规则——这些方法强调库存与利率的短期波动——的检验难以揭示库存与实际利率之间的负相关关系。然而，该模型预测库存会对长期变动做出反应，即对实际利率的状态转变（regime shifts）。强调协整技术（cointegration techniques）的检验证实了这一预测，并显示库存与实际利率之间存在显著的长期关系。