中文摘要
本文提供了稳健的经验证据,表明总体研发(R&D)冲击对宏观经济动态具有持续性影响,并构成投资者的重大风险,正如“长期风险”文献所预测的那样。分析聚焦于单一变量“有效研发”,该变量捕捉研发对生产率增长的全部贡献,并灵活地考虑知识溢出与产品种类扩张效应。有效研发对其均衡水平的偏离,可以借助研发、全要素生产率与劳动力之间协整关系中的误差修正项进行经验识别。在美国数据中,结构性有效研发冲击在超出商业周期时限的范围上影响生产率与消费增长率,并且在股票与债券组合的截面中与显著的风险溢价相关(每年约2%),其中现金流敏感性被证明是关键决定因素。
Abstract
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.