Government investment and the stock market
成果类型：
Article
署名作者：
Belo, Frederico; Yu, Jianfeng
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.2013.01.004
发表日期：
2013
页码：
325-339
关键词：
摘要：
High rates of government investment in public sector capital forecast high risk premiums both at the aggregate and firm-level. This result is in sharp contrast with the well-documented negative relationship between the private sector investment rate and risk premiums. To explain the empirical findings, we extend the neoclassical q-theory model of investment and specify public sector capital as an additional input in the firm's technology. We show that the model can quantitatively replicate the empirical facts with reasonable parameter values if public sector capital increases the marginal productivity of private inputs. (C) 2013 Elsevier B.V. All rights reserved.
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