International R&D spillovers and asset prices

• 成果类型: Article
• 署名作者: Gavazzoni, Federico; Santacreu, Ana Maria
• 署名单位: INSEAD Business School
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2019.09.009
• 发表日期: 2020
• 页码: 330-354
• 关键词: international asset pricing; recursive preferences; Long-run risk; INNOVATION; international diffusion

摘要

We study the international propagation of long-run risk in the context of a general equilibrium model with endogenous growth. Innovation and international diffusion of technologies are the channels at the core of our mechanism. A calibrated version of the model matches several asset pricing and macroeconomic quantity moments, alleviating some of the puzzles highlighted in the international macro-finance literature. Our model predicts that country pairs that share more research and development (R&D) have less volatile exchange rates and more correlated stock market returns. Using data from a sample of 19 developed countries, we provide suggestive empirical evidence in favor of our model's predictions. (C) 2019 Elsevier B.V. All rights reserved.