NBER WORKING PAPER SERIES ACCOUNTING FOR MACRO-FINANCE TRENDS: MARKET POWER, INTANGIBLES, AND RISK PREMIA
NBER WORKING PAPER SERIES ACCOUNTING FOR MACRO-FINANCE TRENDS: MARKET POWER, INTANGIBLES, AND RISK PREMIA
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NBER 宏观金融趋势工作论文系列：市场力量、无形资产和风险溢价
DOI：
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发表时间：
2018
期刊：
影响因子：
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通讯作者：
François Gourio
中科院分区：
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作者：
E. Farhi;François Gourio
真实的无风险利率在过去30年里一直呈下降趋势。令人困惑的是，在这种下降的情况下，（1）私人资本的回报率保持稳定甚至增加，与安全利率形成越来越大的楔子;（2）股票市场估值比率仅适度增加;（3）投资缺乏活力。我们使用新古典增长模型的一个简单扩展来诊断共同解释这些发展的力量之间的联系。我们发现，不断上升的市场力量，不断上升的不可测量的无形资产，以及不断上升的风险溢价，发挥了至关重要的作用，超过了传统的罪魁祸首增加储蓄供应和技术增长放缓。Emmanuel Farhi哈佛大学经济系Littauer中心剑桥，MA 02138和国家经济研究局emmanuel. gmail.com François Gourio经济研究联邦储备银行芝加哥230 South LaSalle St芝加哥，IL 60604 francois. chi.frb.org数据附录可在http://www.nber.org/data-appendix/w25282上找到 Accounting for Macro-Finance Trends：Market Power，Intangibles，and Risk Premia Emmanuel Farhiy和François Gourioz
Real risk-free interest rates have trended down over the past 30 years. Puzzlingly in light of this decline,(1) the return on private capital has remained stable or even increased, creating an increasing wedge with safe interest rates; (2) stock market valuation ratios have increased only moderately; (3) investment has been lackluster. We use a simple extension of the neoclassical growth model to diagnose the nexus of forces that jointly accounts for these developments. We find that rising market power, rising unmeasured intangibles, and rising risk premia, play a crucial role, over and above the traditional culprits of increasing savings supply and technological growth slowdown. Emmanuel Farhi Harvard University Department of Economics Littauer Center Cambridge, MA 02138 and NBER emmanuel.farhi@gmail.com François Gourio Economic Research Federal Reserve Bank of Chicago 230 South LaSalle St Chicago, IL 60604 francois.gourio@chi.frb.org A data appendix is available at http://www.nber.org/data-appendix/w25282 Accounting for Macro-Finance Trends: Market Power, Intangibles, and Risk Premia Emmanuel Farhiy and François Gourioz