nber-分配不当与资产价格

NBERWORKINGPAPERSERIES

MISALLOCATIONANDASSETPRICES

WinstonWeiDou

YanJi

DiTian

PengfeiWang

WorkingPaper32147

/papers/w32147

NATIONALBUREAUOFECONOMICRESEARCH

1050MassachusettsAvenue

Cambridge,MA02138

February2024

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©2024byWinstonWeiDou,YanJi,DiTian,andPengfeiWang.Allrightsreserved.Shortsectionsoftext,nottoexceedtwoparagraphs,maybequotedwithoutexplicitpermissionprovidedthatfullcredit,including©notice,isgiventothesource.

MisallocationandAssetPrices

WinstonWeiDou,YanJi,DiTian,andPengfeiWang

NBERWorkingPaperNo.32147

February2024

JELNo.L11,O30,O40

ABSTRACT

Wedevelopanendogenousgrowthmodelwithheterogeneousfirmsfacingfinancialfrictions,wheremisallocationemergesexplicitlyasacrucialendogenousstatevariableandplaysasignificantroleindrivingeconomicgrowththroughthevaluationchannel.Themodelillustratesthattransientmacroeconomicshocksaffectingmisallocationcanyieldpersistenteffectsonaggregategrowth.Inequilibrium,slow-movingmisallocationendogenouslygenerateslong-rununcertaintyabouteconomicgrowthbydistortinginnovationdecisions.Whenagentsholdrecursivepreferences,misallocation-drivenlow-frequencygrowthfluctuationsresultinsubstantialriskpremiaincapitalmarketsandlargelossesinconsumerwelfare.Employingamisallocationmeasuremotivatedbythemodel,wesubstantiateourfindingswithempiricalevidenceshowingthatmisallocationeffectivelycaptureslow-frequencyfluctuationsinbothaggregategrowthandassetreturns.

WinstonWeiDou

TheWhartonSchool

UniversityofPennsylvania

2318Steinberg-DietrichHall

3620LocustWalk

Philadelphia,PA19104

andNBER

wdou@

YanJi

HongKongUniversityofScience

andTechnology

Room5005,DepartmentofFinance

LeeShauKeeBusinessBuilding

ClearWaterBay,Kowloon

HongKong

jiy@ust.hk

DiTian

HongKongUniversityofScience

andTechnology

Room5074,DepartmentofFinance

LeeShauKeeBusinessBuilding

ClearWaterBay,Kowloon

HongKong

ditian@ust.hk

PengfeiWang

HSBCBusinessSchool

PekingUniversity

Shenzhen,Guan518055

China

pfwang@

Adataappendixisavailableat

/data-appendix/w32147

2

1Introduction

Misallocationisimportanttounderstandingeconomicgrowth,bothduringeconomictransitions(e.g.,

BueraandShin,

2013,

2017;

Moll,

2014

)andinlong-runsteadystates(e.g.,

Jovanovic,

2014;

Acemogluetal.,

2018;

Peters,

2020).Variousmeasuresofcross-sectional

dispersionindicatethattheallocationefficiencyofcapitaldisplaysstrongpro-cyclicalpatterns(e.g.,

EisfeldtandRampini,

2006;

Bloom,

2009;

Kehrig,

2015;

Bloometal.,

2018)

.Thelinkbetweencapitalmisallocationandgrowthprospectscanpotentiallyshedlightonthefundamentalforcesthatdrivelow-frequencygrowthfluctuations.Thesefluctuationsingrowthconstituteasystematicriskcapableofquantitativelyrationalizingnumerousassetpricingphenomena(e.g.,

BansalandYaron,

2004;

Hansen,HeatonandLi,

2008

)andhelpingjustifythesubstantialwelfarecostsassociatedwitheconomicfluctuations.Byintroducinganovelmisallocation-basedassetpricingmechanism,weunderscorethecriticalroleofthevaluationchannelinconveyingthesubstantialimpactofcapitalmisallocationoneconomicgrowthprospects.

Thispaperquantitativelyexplorestherelationshipbetweenmisallocation,growthprospects,andthesystematicriskthatshapesassetpricesincapitalmarkets.Toachievethis,wedevelopananalyticallytractablegeneralequilibriummodelwithheterogeneousfirmsandendogenousstochasticgrowth.Inourmodel,themisallocationofproductioncapitalisendogenouslyslow-movingandcauseslow-frequencyfluctuationsineconomicgrowth.Ashockthatincreasesthemisallocationofproductioncapitalresultsinaprolongedelevationinthelevelofmisallocation.This,inturn,leadstoapersistentdeclineinincentivesforinnovation(R&D),therebyaffectingeconomicgrowthadversely.Attheheartofthismechanismistheimpactofproductioncapitalmisallocationonthemarginalqofintangiblecapital,whichisthepresentvalueofmarginalprofitsderivedfromintangiblecapital(e.g.,

CrouzetandEberly,

2023).Areducedmarginalq

ofintangiblecapitalleadstoweakenedincentivesforinnovation,withincreasedmisallocationdepressingthemarginalqofintangi-blecapitalthroughtwochannels.First,itreducestherentsofinnovationbydecreasingtheaggregatedemandforthegoodslicensedbyinnovationoutputs.Second,wheninvestorsexhibitrecursivepreferences,itelevatestheriskpremiumrequiredtodiscountthefuturerentsofinnovation,duetoheightenedvolatilityingrowthprospects,actingasa“leverageeffect”offinancialfrictions.Thissecondchannelmagnifiestheimpactofcapitalmisallo-cationoneconomicgrowthprospects,establishingwhatwetermthe“valuationchannel.”Throughthischannel,fluctuationsinmisallocationhaveamplifiedeffectsonvariationsinlow-frequencyeconomicgrowth.

Ourmodelbuildsupontheframeworkestablishedby

Moll

(2014),wheremisallocation

endogenouslyemergesasanoutcomeoffinancialfrictions.Weextend

Moll

(2014)’s

frameworkinthreeways,allthewhilepreservingitsanalyticaltractability.First,wemodel

3

Figure1:Ourmodelelucidatesamechanismthatquantitativelylinkscapitalmisallocationtoeconomicgrowthviaavaluationchannel.

heterogeneousfirmsengagedintheproductionoffinalgoods.Thesefirmsaretypicallypubliclytraded,ownedbyadiversegroupofshareholderswithhomogeneousrecursivepreferences.However,theyaremanagedbycorporatemanagerswithobjectivesthatdifferfromthoseoftheirshareholders.Thisagencyconflictleadstothefinancialfrictionsfacedbythesefirms.Second,inadditiontothefinalgoodssector,ourmodelincorporatesbothintermediategoodsandR&Dsectors.R&Dactivities,whichcontributetoexpandingthevarietyofintermediategoodsutilizedintheproductionoffinalgoods,arepivotalindrivingtechnologicalprogressand,consequently,endogenouseconomicgrowth,asarticulatedby

Romer

(1986,

1990)and

Jones

(1995).Third,weincorporateaggregateshocksthatdrive

slow-movingmisallocation.

Thecombinationofthesethreecomponentsenablesustoillustrateanovelandrelevanteconomicmechanism,asillustratedinFigure

1.

Whenthemisallocationofproductioncapitalwithinthefinalgoodssectorincreases,theaggregatedemandforthegoodsproducedbytheintermediategoodssectordeclines.Inthissector,eachproducerholdsmonopolypoweroveraspecifictypeofintermediategoodsbyacquiringtheblueprintfromtheR&Dsector.Thelowerdemandforintermediategoodsleadstolowermonopolyrents,andthusreducesthevalueoftheblueprintsinventedwithintheR&Dsector.Thischainofeventsthenleadstoadeclineinthemarginalqofintangiblecapitalacrosstheeconomy.Asaresult,theincentiveforinnovationwithintheR&Dsectordeclines,whichultimatelyleadstoadecreaseinequilibriumeconomicgrowthprospects.

Importantly,thereismoretotheabovemechanism,ashighlightedinredcolorinFigure

1

.Theendogenouslypersistentandslow-movingmisallocationofproductioncapitalimplies

4

thattheaggregateshocksinfluencingmisallocationcanleadtolow-frequencyfluctuations ineconomicgrowth.Whenagentshaverecursivepreferences,theselow-frequencygrowth fluctuations,asafundamentalsourceofsystematicrisk,playacrucialroleindetermining thediscountrate(particularly,theriskpremium).Importantly,duetotheinteractionwith financialfrictions,theeconomicgrowthrateisnotonlylowbutalsohighlyvolatileinperiodswithhighmisallocation,leadingtoahigherriskpremiumineconomicdownturns.Thisfurtherdepressesthemarginalqofintangiblecapitalacrosstheeconomy,amplifying theimpactofproductioncapitalmisallocationoneconomicgrowthprospectsthroughthe“valuationchannel.”

Ourtheoreticalframework,whichlinksmisallocationtogrowth,bearsresemblancestothemodelby

Peters

(2020),whereintheinnovationratesoffirmsarenegativelyimpactedby

themisallocationofproductionlabor.However,ourmodelisdifferentinthreesignificantways:(i)thesourceofmisallocationinourmodelisfinancialfrictionsarisingfromagencyconflicts,ratherthanproductmarketimperfections;(ii)ourmodelfocusesonthedynamicsofstochasticgrowth,ratherthandeterministicsteady-stategrowth;and(iii)ourmodelemphasizesthe“valuationchannel,”acrucialaspectabsentinthemodelof

Peters

(2020)

.Ourmechanismisalsodifferentfromthatof

Acemogluetal.

(2018),whoemphasizethe

roleofmisallocationofR&Dinputs,ratherthanthemisallocationofproductioncapital,indeterminingequilibriumeconomicgrowth.

Below,weelaborateonthekeyelementsofourmodel.Oureconomicmodelencompassesthreesectors.First,theR&Dsectorservesastheengineofknowledgecreation,leveragingfinalgoodsandtheexistingreservoirofknowledgetogeneratenewblueprints.Second,theintermediategoodssectorcapitalizesontheseblueprints,inconjunctionwithfinalgoods,toproduceavarietyofdifferentiatedintermediategoods.Inthissector,thereisacontinuumofproducers.Eachproducerholdsamonopolyoveraspecifictypeofintermediategood,withthemonopolypowersecuredbytheblueprintacquiredfromtheR&Dsector.Finally,thefinalgoodssectorusesproductioncapital,labor,andintermediateinputstoproducetheultimateendproducts.Thereisarepresentativeagentwhoownsfirmsinallsectors,acontinuumofheterogeneousfirmsinthefinalgoodssector,andhomogeneousfirmsintheintermediategoodsandR&Dsectors.

Firmsinthefinalgoodssectordifferinbothproductivitylevelsandtheirstockofproductioncapital.Yet,duetoagencyconflicts,theyaresubjectedtobothcollateralconstraintsonborrowingandequitymarketconstraintsrelatingtopayoutsandissuances.Thesefinancialfrictionscontributetothemisallocationofproductioncapitalamongfirmsoperatingwithinthefinalgoodssector.Increasedmisallocationleadstoadeclineinaggregateproductivitywithinthefinalgoodssector,wihchreducestheaggregatedemandforintermediategoods.This,inturn,adverselyaffectstheprofitabilityofinnovationandthusreducestheincentiveofinnovatorstogeneratenewblueprintsforexpandingthevariety

5

ofintermediategoods,ultimatelyresultinginalowergrowthratefortheeconomy.

Thereisoneaggregateshock—theproductioncapitaldepreciationshock—thatdrivestheaggregatefluctuationoftheeconomy.Modelingaggregateshockstoproductioncapitaldepreciationratesfollows

Storesletten,TelmerandYaron

(2007),

Gourio

(2012),

Brunnermeier

andSannikov

(2017),amongothers.Firmsendogenouslychoosetheircapacityutilization

intensity.Higherintensityallowsfirmstoproducemoreoutputsatthecostofahigherproductioncapitaldepreciationrate.Inequilibrium,firmswithhigherproductivitydeploytheirproductioncapitalmoreintensively,makingthemmorevulnerabletotheaggregatecapitaldepreciationshockthanlessproductivefirms.Asaresult,thisaggregateshockleadstofluctuationsinthemisallocationofproductioncapitalwithintheeconomy,whichinturnresultsinfluctuationsintheeconomy’sgrowthrate.

Ourmodelrepresentsageneralequilibriumframeworkfeaturingheterogeneousfirmsandaggregatefluctuations.Thestandardapproachtosolvingsuchmodelstypicallyin-volvesnumericalapproximationsbasedonkeymomentssummarizingthecross-sectionaldistributionoffirms.Wedepartfromthestandardapproachbyproposingaparametricapproximationofthedistributionoflogproductivityandlogcapitalusingabivariatenormaldistribution.Thisparametricapproximationapproachofferstwomajoradvantages.First,itallowsustoderiveaclosed-formexpressionforthemisallocationofcapitalinthefinalgoodssector,whichemergesasacrucialandexplicitendogenousstatevariablethatsummarizesthecross-sectionaldistributionoffirms.Specifically,inourmodel,misallocationischaracterizedbythecovariancebetweenthelogmarginalrevenueproductofcapital(MRPK)andlogcapital,normalizedbythevarianceoflogMRPK.Thiscovariance-basedmeasureofmisallocationisintuitiveandalignswithsimilarmetricsusedinempiricalstudiesforassessingcapitalallocationefficiency(e.g.,

OlleyandPakes,

1996;

Bartelsman,

HaltiwangerandScarpetta,

2009,

2013).Second,ourproposedparametricapproximation

makesthemodelhighlytractableandtransparent.Itallowstheevolutionofthemodeleconomytobeanalyticallycharacterizedbytwoendogenousstatevariables—misallocationandtheknowledgestock-capitalratio.Thisapproachenablesananalyticalexplorationoftherelationshipbetweenthedynamicsofmisallocationandthedynamicsofaggregategrowth.

1

Toillustratethekeytheoreticalmechanism,webeginouranalysisbyfocusingonthedeterministicbalancedgrowthpathintheabsenceofaggregateshocks.Weshowthataone-timeshockthatincreasesmisallocationcanexertapersistentlyadverseeffectoneconomicgrowth.Specifically,duetofinancialfrictions,thereallocationofcapitalacross

1WejustifythevalidityofthisapproximationusingtheBerry-Esseenbound(

Tikhomirov,

1980;

Bentkus,

GotzeandTikhomoirov,

1997

)undercertainconditions.Ourparametricapproximationyieldsresultsthatareclosetothoseobtainedviastandardnumericalapproximationmethods,particularlyunderbaselinecalibration,asdetailedinOnlineAppendix

III.

6

firmstakestime.Asaresult,theshocknotonlyescalatesmisallocationatthemomentofimpactbutalsoprolongsthisheightenedlevelintothelong-termfuture.Therefore,throughitsinfluenceonthemarginalqofintangiblecapital,andconsequentlyonR&Dincentives,whatbeginsasatemporaryshocktomisallocationcanresultinaprolongeddownturnineconomicgrowth.Thisunderscorestheprofoundandlastingeffectsthatmisallocation,stemmingfromagencyconflictsinthecorporatesector,hasontheeconomy.Furthermore,weshowthatthepersistenceofbothmisallocationandeconomicgrowthiscloselyrelatedtothepersistenceoffirms’idiosyncraticproductivity.Thisaugmentsthekeyinsightfrom

Moll

(2014),whichstatesthatanincreaseinthepersistenceoffirms’idiosyncraticproductivity

leadstoalongertimefortheeconomytoreachitssteadystate.Inourmodel,thepersistenceofidiosyncraticproductivityemergesasacrucialdeterminantofthepersistenceofaggregateeconomicgrowth.Thisisprimarilybecausemisallocationnaturallyadjustsmoreslowlywhenidiosyncraticproductivitybecomesmorepersistent.

Buildingonthismechanism,weshowthatinthefullmodelwithaggregateshocks,misallocationevolvesslowly,leadingtolow-frequencyfluctuationsineconomicgrowth.Inquantitativeterms,theannualautocorrelationofmisallocationstandsat0.73,whilethatofconsumptiongrowthis0.46,bothcloselymirroringempiricalmeasures.Consequently,ourmodeldemonstratesanovelmechanismlinkingmisallocationfluctuationstolow-frequencygrowthfluctuations.

2

Centraltothismechanismisthevaluationchannel,whichsignificantlymagnifiestheeffectsofproductioncapitalmisallocationinthefinalgoodssectoroneconomicgrowth.Inparticular,duringeconomicdownturns,characterizedbyheightenedmisallocationandreducedgrowth,firmsinthefinalgoodssectorfacegreaterfinancialconstraints.Insuchperiods,theeconomicgrowthrateisnotonlylowbutalsohighlyvolatile.Consequently,lowexpectedconsumptiongrowthtypicallycoincideswithhighmacroeconomicvolatility,leadingtoanelevatedriskpremium.Asaresult,themarginalqofintangiblecapitalsuffersadoubleimpact:itisdepressednotonlybecauseofreducedprofits,butalsobecausefutureprofitsarediscountedatahigherrateowingtotheincreasedriskpremium.

Furthermore,weshowthatourmodelnotonlyrationalizesseveralcrucialassetpricingmomentsbutalsosuggestssignificantwelfarecostsassociatedwithmisallocationfluc-tuations.Specifically,themodelimpliesahighSharperatioof0.39fortheaggregateconsumptionclaim,accompaniedbyalowandstablerisk-freerate,aligningwithem-piricalobservations.Therepresentativeagentwouldexperienceawelfaregainofabout10%ifconsumptionfluctuationsareeliminated.Thelargequantitativeeffectsgeneratedbymisallocationfluctuationshingeontwopropertiesofthemodel,thelow-frequency

2Ourmodelprovidesamisallocation-basedexplanationfortheobservedlow-frequencycovariationinthetimeseriesofconsumptiongrowthandoutputgrowth(e.g.,

Bansal,DittmarandLundblad,

2005;

Hansen,

HeatonandLi,

2008;

MüllerandWatson,

2008,

2018)

.

growthfluctuationsdrivenbyslow-movingmisallocation,andtherecursivepreferenceoftherepresentativeagent.Weshowthatifmisallocationdoesnotaffecteconomicgrowthorifitisnotsufficientlyslowmovingtogeneratelow-frequencygrowthfluctuations,thequantifiedSharperatioandwelfaregainwouldbeverysmall.Moreover,wedemonstratethatiftherepresentativeagentpossessestime-separablepreferenceswithconstantrelativeriskaversion(CRRA),theobservedeffectswouldbemarkedlydiminished.Thecruxofthisphenomenonliesintherecursivepreferences,whichensurethattherepresentativeagent’smarginalutilitytodayisinfluencednotjustbycurrentconsumptiongrowth,butmoreimportantly,byexpectationsoffutureconsumptiongrowth.Consequently,fluctuationsinanticipatedconsumptiongrowthcanexertsignificantvaluationeffectsviathestochasticdiscountfactor(SDF).Furthermore,giventhepersistentnatureofconsumptiongrowth,evenatransientshockcanleadtoenduringfutureeffects.Thispersistencemarkedlyheightenstheinfluenceoffutureconsumptiongrowthoncurrentmarginalutility,therebyamplifyingtheimpactofcapitalmisallocationoneconomicgrowth.

Althoughourmaincontributionistheoretical,weempiricallytestthemainpredictionsofourmodel.Motivatedbyourtheory,weconstructamisallocationmeasurebasedonthecovariancebetweenlogMRPKandlogcapitalusingU.S.Compustatdata.Weshowthatthemisallocationmeasureispersistent,withayearlyautocorrelationof0.75.Moreover,thevalueofourempiricalmeasureofmisallocationincreasesduringeconomicdownturns.WeshowthatanincreaseinmisallocationpredictsdeclinesinR&Dintensityandreductionsinthegrowthofaggregateconsumptionandoutputoverlonghorizons.Moreover,weprovidedirectcausalevidencetosupportthemodel’smechanismthatmisallocationdriveslong-rungrowththroughitsimpactonR&D.WeconsiderthepolicyshockfromtheAmericanJobsCreationAct(AJCA)passedin2004,whichrelaxesfinancialconstraintsoffirmswithpre-taxincomefromabroad.Byexploitingindustries’differentialexposuretothispolicyshockinadifference-in-differences(DID)setting,wefindthattheAJCAconsiderablyreducesindustry-levelmisallocationandraisesR&Dexpenditureintreatedindustries.WefurthershowthattheimpactoftheAJCAonindustry-levelR&Dexpenditurebecomesstatisticallyinsignificantaftercontrollingforitsimpactonindustry-levelmisallocation.InSection

I

oftheOnlineAppendix,weprovideadditionalcross-sectionalevidencetosupportthemaintheoreticalmechanism,suggestingthattheproposedmisallocationmeasurecapturesaquantity-basedmacroeconomicassetpricingfactor.

RelatedLiterature.Ourpaperisrelatedtoseveralstrandsoftheliterature.First,ourworkcontributestotheenduringyetrapidlyexpandingbodyofliteratureemphasizingtheimportanceofmisallocationindrivingeconomicgrowthanddevelopment.Intermsofeconomicgrowth,itrelatestotheresearchby

BanerjeeandDuflo

(2005),

Jones

(2013),

Jovanovic

(2014),

Acemogluetal.

(2018),

Peters

(2020),

Königetal.

(2022),and

Glodeand

7

8

Ordonez

(2023),amongothers.Regardingeconomicdevelopment,itrelatestostudiessuch

asthoseby

Foster,HaltiwangerandSyverson

(2008),

RestucciaandRogerson

(2008),

Hsieh

andKlenow

(2009),

Jones

(2011),

Bartelsman,HaltiwangerandScarpetta

(2013),

Asker,

Collard-WexlerandLoecker

(2014),

David,HopenhaynandVenkateswaran

(2016),and

DavidandVenkateswaran

(2019)

.Ourpaperisparticularlyrelatedtotheliteratureonfinancialfrictionsandmisallocation.Mostofthisliteraturefocusesonthelong-runtotalfactorproductivity(TFP)andwelfarelossesduetomisallocationinthedeterministicsteadystate(e.g.,

AmaralandQuintin,

2010;

Greenwood,SanchezandWang,

2010,

2013;

Caselli

andGennaioli,

2013;

MidriganandXu,

2014;

Buera,KaboskiandShin,

2015),whileafew

papersalsoanalyzetransitionaldynamics(e.g.,

JeongandTownsend,

2007;

Bueraand

Shin,

2013;

Moll,

2014;

Gopinathetal.,

2017

)

.3

Ourpaperdevelopsastochasticgrowthmodelinwhichslow-movingmisallocationendogenouslydriveslow-frequencygrowthcycles.Weshowthatwhenagentshaverecursivepreferences,themisallocationcausedbyfinancialfrictionscangeneratelargeriskpremiaandwelfarelossesthroughendogenouslow-frequencygrowthfluctuations.Moreover,thepersistenceoffirm-levelidiosyncraticproductivityplaysanimportantroleingeneratingslow-movingmisallocation,which,inturn,generateslow-frequencygrowthfluctuations.

4

Ourresultscomplementthekeyinsightof

Moll

(2014),whoshowsthatasidiosyncraticproductivitybecomesincreasinglypersistent,

thetransitionspeedfromadistortedinitialstatetothesteadystateslowsdown,resultinginpotentiallylargewelfarelossesduringtransitions.

Relativelyfewstudiesinthefinanceliteraturehaveconcentratedontheroleofmisalloca-tion,especiallywhencomparedtothedevelopmentandgrowthliterature.Thisdiscrepancyhighlightsapotentialresearchgapthatcouldbepivotalinunderstandingthebroaderimpactsofmisallocationonfinancialsystemsandmarkets.Existingadvancesinclude

EisfeldtandRampini

(2006,

2008b),

RampiniandViswanathan

(2010),

Fuchs,Greenand

Papanikolaou

(2016),

vanBinsbergenandOpp

(2019),

Ai,LiandYang

(2020),

Aietal.

(2020),

and

LanteriandRampini

(2021),amongothers.Ourpaperismostrelatedto

David,Schmid

andZeke

(2022),whoanalyzetheimplicationsofmacroeconomicriskformisallocation.

Nevertheless,ourpaperexaminesthereverserelationship—theconsequencesofmisal-locationonmacroeconomicrisk.Specifically,ourmodelrevealsthatmisallocationwithintheeconomycanitselfactasamacroeconomicriskfactorofassetpricing.Thisoccursas

3Severalpapersmeasuretheimportanceoffinancingcostsingeneratingmisallocation.Forexample,

Gilchrist,SimandZakrajsek

(2013)findthatthecostsofdebtplayalimitedroleingeneratingmisallocation

basedonasampleconsistingofabout500(mostlylarge)firmsthatissuecorporatebonds.

David,Schmidand

Zeke

(2022)findthatthecostsofequityareimportantingeneratingmisallocation.

WhitedandZhao

(2021)

findsignificantvariationsinthecostsofdebtandequityacrossU.S.firms.

4Byconnectingthepersistenceinidiosyncraticproductivitywiththepersistenceinaggregateconsumptiongrowth,ourmodelimpliesthatlow-frequencygrowthfluctuationscanbeidentifiedusinggranularfirm-leveldata,whichpotentiallyhelpsaddresstheissuesofweakidentificationintheassetpricingliterature(

Chen,

DouandKogan,

2022;

Cheng,DouandLiao,

2022)

.

9

misallocationinfluencestheinvestors’SDFthroughitseffectonlow-frequency