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• W20461186 abstract "This paper demonstrates that a seemingly natural single innovation to an otherwise standard macroeconomic model simultaneously explains the origin of a news shock and the origin of the long-run risk. The innovation is a two-stage product cycle: i.e., when a new product is created with research and development (RD but it is matured stochastically and after which time it is produced competitively. An important assumption is that an innovative product is a seed of new products in the sense that expert knowledge about it is essential for R&D. I interpret an innovation in the R&D sector-speci…c productivity shock as a news shock. The model replicates empirical responses recently found by Sims (2009) including a seemingly puzzling stock market appreciation happening with an investment slump on impact of the shock. The same shock is also the origin of the long-run risk. Equipped with a recursive utility, the model generates a large equity premium with a low and stable risk-free rate. Importantly, these results are robust to the value of intertemporal elasticity of substitution while most existing long-run risk models depend on an empirically controversial parametric assumption that the intertemporal elasticity of substitution is greater than 1. Simulated business cycle moments are in line with the data including those of R&D spending and factor shares." @default.
• W20461186 created "2016-06-24" @default.
• W20461186 creator A5079771318 @default.
• W20461186 date "2010-01-01" @default.
• W20461186 modified "2023-09-27" @default.
• W20461186 title "Intangible Capital, Asset Prices, and Business Cycles" @default.
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