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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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