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.

本文提出了一个基于实际利率（real interest rate）机制转换（regime switching）与学习行为的模型，旨在解释为何基于存量调整模型（stock adjustment models）、欧拉方程（Euler equations）或决策规则（decision rules）——此类方法均强调存货与利率的短期波动——的检验，难以发掘存货与实际利率之间的负向关联。然而该模型预测，存货会对长期变动作出响应，即响应实际利率的机制转移。采用协整技术（cointegration techniques）的相关检验验证了这一预测，并证实存货与实际利率之间存在显著的长期关联。