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Autor:innen: 
Erscheinungsjahr: 
2025
Schriftenreihe/Nr.: 
Quaderni - Working Paper DSE No. 1215
Verlag: 
Alma Mater Studiorum - Università di Bologna, Dipartimento di Scienze Economiche (DSE), Bologna
Zusammenfassung: 
This paper provides robust empirical evidence that shocks to aggregate Research and Development (R&D) have persistent effects on macroeconomic dynamics and represent a significant risk for investors, as predicted by the 'long-run risk' literature. The analysis focuses on a single variable, 'effective R&D', which captures the entire contribution of R&D to productivity growth, flexibly accounting for knowledge spillovers and product proliferation effects. Deviations of effective R&D from its equilibrium level can be empirically identified leveraging the error correction term in the cointegration relationship among R&D, total factor productivity, and the labor force. In US data, structural effective R&D shocks affect productivity and consumption growth rates beyond business cycle horizons and are associated with a significant risk premium in a cross section of stock and bond portfolios (around 2% annually), with cash-flow sensitivities proving a key determinant.
Schlagwörter: 
R&D
Long-run risk
Asset Pricing
Cointegration
JEL: 
E32
E44
G12
O30
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Dokumentart: 
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