Government debt and the returns to innovation

• 成果类型: Article
• 署名作者: Croce, M. M.; Nguyen, Thien T.; Raymon, S.; Schmid, L.
• 署名单位: Bocconi University; University of North Carolina; University of North Carolina Chapel Hill; Centre for Economic Policy Research - UK; National Bureau of Economic Research; University System of Ohio; Ohio State University; Duke University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2018.11.010
• 发表日期: 2019
• 页码: 205-225
• 关键词: Government debt; Fiscal uncertainty; Cross section of stock returns; predictability; R&D; GROWTH

摘要

Elevated levels of government debt raise concerns about their effects on long-term growth prospects. Using the cross-section of US stock returns, we show that (i) high-R&D firms are more exposed to government debt and pay higher expected returns than low-R&D firms, and (ii) higher levels of the debt-to-GDP ratio predict higher risk premiums for high-R&D firms. Furthermore, rises in the cost of capital for innovation-intensive firms predict declines in subsequent productivity and economic growth. We propose a production-based asset pricing model with endogenous innovation and fiscal policy shocks that can rationalize key aspects of the empirical evidence. Our study highlights a novel and distinct risk channel shaping the link between government debt and future growth. (C) 2018 Elsevier B.V. All rights reserved.