We develop a theory linking “misallocation,” i.e., dispersion in marginal products of capital (MPK), to macroeconomic risk. Dispersion in MPK depends on (i) heterogeneity in firm-level risk and (ii) the magnitude of risk premia. Stock market-based measures imply that risk considerations explain about 25% of MPK dispersion among US firms and rationalize a large persistent component in firm-level MPK, consistent with the micro-level data. Time-varying risk premia lead to countercyclical MPK dispersion alongside procyclical capital reallocation. Risk-based MPK dispersion in part shapes the dynamic behavior of aggregate productivity, namely, its long-run level, volatility and skewness.

我们提出了一种将“分配不当”（即资本边际产品（MPK）的分散）与宏观经济风险联系起来的理论。MPK 的分散取决于 (i) 公司层面风险的异质性和 (ii) 风险溢价的大小。基于股票市场的测量表明，风险因素解释了美国公司约 25% 的 MPK 分散，并使公司层面 MPK 中的一个大的持续成分合理化，与微观层面的数据一致。时变风险溢价导致逆周期 MPK 分散以及顺周期资本重新分配。基于风险的 MPK 分散部分塑造了总生产率的动态行为，即其长期水平、波动性和偏度。