Innovation, Growth, and Asset Prices
研究了创新和研发如何内生驱动生产率中的持久成分，产生经济增长的长期不确定性，并影响资产定价和风险溢价。
ABSTRACT We examine the asset pricing implications of a production economy whose long‐term growth prospects are endogenously determined by innovation and R&D. In equilibrium, R&D endogenously drives a small, persistent component in productivity that generates long‐run uncertainty about economic growth. With recursive preferences, households fear that persistent downturns in economic growth are accompanied by low asset valuations and command high‐risk premia in asset markets. Empirically, we find substantial evidence for innovation‐driven low‐frequency movements in aggregate growth rates and asset market valuations. In short, equilibrium growth is risky.