G2TT
来源类型Discussion paper
规范类型论文
来源IDDP12617
DP12617 Government Debt and the Returns to Innovation
Lukas Schmid; Mariano Massimiliano Croce; Steve Raymond
发表日期2018-01-18
出版年2018
语种英语
摘要Elevated levels of government debt raise concerns about their effects on long-term growth prospects. Using the cross section of US stock returns, we show that (i) high-R&D firms are more exposed to government debt and pay higher expected returns than low-R&D firms; and (ii) higher levels of the debt-to-GDP ratio predict higher risk premia for high-R&D firms. Furthermore, rises in the cost of capital for innovation-intensive firms predict declines in subsequent productivity and economic growth. We propose a production-based asset pricing model with endogenous innovation and fiscal policy shocks that can rationalize key aspects of the empirical evidence. Our study highlights a novel and distinct risk channel shaping the link between government debt and future growth.
主题Financial Economics
关键词Fiscal uncertainty Cross section of stock returns Predictability R&d Growth Government debt
URLhttps://cepr.org/publications/dp12617
来源智库Centre for Economic Policy Research (United Kingdom)
资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/541429
推荐引用方式
GB/T 7714
Lukas Schmid,Mariano Massimiliano Croce,Steve Raymond. DP12617 Government Debt and the Returns to Innovation. 2018.
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