The endogenous growth and asset prices nexus revisited with closed-form solution

IF 7.4 2区经济学 Q1 BUSINESS, FINANCE

Finance Research Letters Pub Date : 2024-08-28 DOI:10.1016/j.frl.2024.105986

引用次数: 0

Abstract

Endogenous growth models exhibit long-run risks, which are considered a potential explanation of the equity premium puzzle. Unlike previous literature, we use a closed-form solution of a simplified model to make the following contributions. First, we derive a set of conditions for a positive and large equity premium. Second, we match a key driver of endogenous growth, the R&D spending-to-GDP ratio. Third, we include a novel discussion on the role of patent obsolescence. Given that the literature concerns the accuracy of loglinear-lognormal solutions, we solve our model numerically with third-order perturbation. We find additional risk correction due to higher-order terms.

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内生增长与资产价格关系的闭式解法再探讨

内生增长模型表现出长期风险，这被认为是股票溢价之谜的潜在解释。与以往的文献不同，我们利用简化模型的闭式解法做出了以下贡献。首先，我们推导出了一系列正且大的股票溢价的条件。其次，我们匹配了内生增长的一个关键驱动因素，即研发支出与国内生产总值之比。第三，我们对专利过时的作用进行了新颖的讨论。鉴于文献关注对数对数正态解法的准确性，我们对模型进行了三阶扰动数值求解。我们发现高阶项会带来额外的风险修正。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Finance Research Letters BUSINESS, FINANCE-

CiteScore

11.10

自引率

14.40%

发文量

863

期刊介绍： Finance Research Letters welcomes submissions across all areas of finance, aiming for rapid publication of significant new findings. The journal particularly encourages papers that provide insight into the replicability of established results, examine the cross-national applicability of previous findings, challenge existing methodologies, or demonstrate methodological contingencies. Papers are invited in the following areas: Actuarial studies Alternative investments Asset Pricing Bankruptcy and liquidation Banks and other Depository Institutions Behavioral and experimental finance Bibliometric and Scientometric studies of finance Capital budgeting and corporate investment Capital markets and accounting Capital structure and payout policy Commodities Contagion, crises and interdependence Corporate governance Credit and fixed income markets and instruments Derivatives Emerging markets Energy Finance and Energy Markets Financial Econometrics Financial History Financial intermediation and money markets Financial markets and marketplaces Financial Mathematics and Econophysics Financial Regulation and Law Forecasting Frontier market studies International Finance Market efficiency, event studies Mergers, acquisitions and the market for corporate control Micro Finance Institutions Microstructure Non-bank Financial Institutions Personal Finance Portfolio choice and investing Real estate finance and investing Risk SME, Family and Entrepreneurial Finance

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