International Endogenous Growth, Macro Anomalies, and Asset Prices
Zusammenfassung
"This paper studies a two-country production economy with complete and frictionless financial markets and international trade in which competition in R&D leads to endogenous new firm creation and economic growth. Current monopolists (""incumbents"") and potential new firms (""entrants"") compete in developing patents domestically. These innovative firms use both consumption goods in their R&D technologies to capture international technological spillovers. In the model specifications with technology spillover one obtains that (i) the cross-country correlation of consumption growth is lower than the one of output growth; (ii) net exports are negatively correlated with output; (iii) the model matches the high co-movement of stock returns across countries. Furthermore, heterogeneity in the R&D technology bundle home bias parameters for incumbents and entrants enables the model to replicate the empirically rather moderate correlation between the R&D innovation probabilities of incumbents and entrants within a country. Moreover, the model produces a positive value premium. Finally, the exchange rate volatility is decreasing in the amount of technology spillovers."
Forschungsbereich
Financial Markets
Schlagworte
innovation, technology spillover, endogenous growth, long-run risk, international finance
JEL-Klassifizierung
E22, F31, G12, O30, O41
Forschungsdaten
Thema
Fiscal Stability
Monetary Policy
Macro Finance
Monetary Policy
Macro Finance
Beziehungen
1
Publikationstyp
Working Paper
Link zur Publikation
Collections
- LIF-SAFE Working Papers [334]