Is the IT revolution over? An asset pricing view

• 成果类型: Article
• 署名作者: Ward, Colin
• 署名单位: University of Minnesota System; University of Minnesota Twin Cities
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2019.04.007
• 发表日期: 2020
• 页码: 283-316
• 关键词: Asset pricing; IT Revolution; endogenous growth; financial markets

摘要

I develop a method that structures financial market data to forecast economic outcomes. I use it to study the IT sector's transition to its long-run share in the US economy. The method uses a model which links economy-wide growth with IT's market valuation to match transition data on macroeconomic quantities, the sector's life cycle patterns, and, importantly, market valuation ratios. My central estimates indicate that the revolution ends between 2028 and 2034 and that future average labor productivity growth will fall to 1.7 percent from the 2.7 recorded over 1974-2015. I show empirically the IT sector's price-dividend ratio univariately explains over half of the variation in future productivity growth. (c) 2019 Elsevier B.V. All rights reserved.