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Table 11: Sensitivity Analysis: Price Adjustment Costs φR = 10 φR = 40 φR = 70 φR = 100 1st Moments E[∆y] 2.76% 2.53% 2.20% 1.97% E[r∗ d − rf ] E[y 4.32% 4.07% 3.74% 2.16% (20) − y (1) ] 2nd Moments 1.25% 1.20% 1.13% 1.10% σ∆c/σ∆y 0.60 0.60 0.60 0.60 σ∆l/σ∆y 0.42 0.64 0.77 0.80 σ∆i/σ∆c 3.86 4.16 4.38 4.50 σ∆s/σ∆c 3.41 3.42 3.44 3.44 σ∆c 1.42% 1.42% 1.42% 1.42% σπ 1.57% 1.55% 1.52% 1.49% σE[∆z] 0.64% 0.63% 0.61% 0.59% AC1(E[∆z]) 0.98 0.98 0.97 0.97 This table compares key summary statistics from alternate calibrations that vary the magnitude of the price adjustment cost parameter φR, while holding all other parameters fixed at the benchmark calibration. At the benchmark calibration, φR = 70. The models are calibrated at a quarterly frequency and the summary statistics are annualized. The risk premium is levered following Boldrin, Christiano, and Fisher (2001). 43
! n ! c 0.02 0.01 0 −0.01 Figure 1: Long-Run Co-Movement Data ENDO 1 0.04 0.02 −0.02 −0.02 1950 1960 1970 1980 year 1990 2000 2010 −0.04 0.02 0.01 0 −0.01 −0.02 1950 1960 1970 1980 year 1990 2000 2010 −0.04 0 0.04 0.02 0 −0.02 " " ! n 0.02 0.01 0 −0.01 −0.02 −0.02 0 10 20 30 years 40 50 60 −0.04 −0.02 0 10 20 30 years 40 50 60 −0.04 The top left panel plots the low-frequency components of both log consumption growth (dashed line, scale on left axis) and log inflation (solid line, scale on right axis) from the data. The bottom left panel plots the low-frequency components of both log R&D stock growth (dashed line, scale on left axis) and log inflation (solid line, scale on right axis) from the data. The top left panel plots the low-frequency components of both log consumption growth (dashed line, scale on left axis) and log inflation (solid line, scale on right axis) from the benchmark model. The bottom left panel plots the low-frequency components of both log R&D stock growth (dashed line, scale on left axis) and log inflation (solid line, scale on right axis) from the benchmark model. The low-frequency component is obtained using the bandpass filter from Christiano and Fitzgerald (2003) and selecting a bandwidth of 32 to 200 quarters. Macro data are from the BEA and BLS. Inflation data are from CRSP. 44 ! c 0.02 0.01 0 −0.01 0.04 0.02 0 0.04 0.02 0 −0.02 " "
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