| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP12617 |
| 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 |
| URL | https://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. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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