Covid-19: Industry Level Origins of Fluctuations in Growth Rates and Economic Welfare

新冠肺炎疫情对英国经济的冲击在各个行业都是不同的，这表明随着经济复苏，会出现重大的再分配。因此，政府对经济的支持必须针对具体部门，才能发挥作用。我们可以观察行业层面的股价和股息，并估计工资，但无法直接观察到对其长期增长率和行业规模的预期在应对COVID-19冲击时发生了怎样的变化。然而，使用资产定价理论模型（基于其中一位申请人[Bhamra， Kuehn和Strebulaev(2011)]的扩展工作），我们可以使用行业层面的股票价格、股息和工资来推导将这些变量与跨行业股息和工资的预期长期增长率联系起来的方程。因此，我们可以估计行业层面的预期长期增长率，并显示它们在应对COVID-19冲击时的变化情况。我们还可以从劳动收入和消费的角度估计每个部门对总福利的贡献，并显示这些贡献是如何随时间变化的。通过对资产价格的分析，我们可以实时更新对行业增长率的估计。这一点很重要，因为部门层面的宏观经济数据往往滞后于事件（例如，英国国家统计局于2020年4月9日发布了2020年2月的部门层面产出数据）。现有的研究利用资产价格来估计美国的总增长率[见Gormsen & Koijen(2020)]，但在行业层面上没有这样的研究。

The impact of the COVID-19 shock on the UK economy has been heterogeneous across sectors, suggestive of significant reallocation as the economy recovers. Government support for the economy will therefore need to be targeted at specific sectors in order to be effective.We can observe sector-level stock prices and dividends, and estimate wages, but cannot observe directly how expectations of their long-run growth rates and sector sizes have shifted in response to the COVID-19 shock. However, using an asset pricing theory model (based on an extension of work by one of the applicants [Bhamra, Kuehn and Strebulaev (2011)] we can use sector-level stock prices and dividends and wages to derive equations linking these variables to expected longrun growth rates of dividends and wages across sectors. We can hence estimate sector-level expected long-run growth rates and show how they have changed in response to the COVID-19 shock. We can also estimate the contribution of each sector to aggregate welfare in terms of labour income and consumption and show how these contributions have changed over time.By basing our analysis on asset prices, we can update our estimates of sector-level growth rates in real time. This is important, because sector-level macroeconomic data often lags events (e.g., UK sector-level data on output for February 2020 was released by the ONS on 9th April 2020). Existingwork has exploited asset prices to estimate aggregate growth rates for the US [see Gormsen & Koijen (2020)], but no such work exists at the sectoral level.