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The Adjusted Solow Residual and Asset Returns
http://hdl.handle.net/2261/2671
http://hdl.handle.net/2261/26716122eacc-39b0-467e-a0b5-0603b3e49d9e
Item type | テクニカルレポート / Technical Report(1) | |||||
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公開日 | 2013-06-03 | |||||
タイトル | ||||||
タイトル | The Adjusted Solow Residual and Asset Returns | |||||
言語 | ||||||
言語 | eng | |||||
キーワード | ||||||
主題Scheme | Other | |||||
主題 | Aggregate Productivity Shock | |||||
キーワード | ||||||
主題Scheme | Other | |||||
主題 | Asset Returns | |||||
キーワード | ||||||
主題Scheme | Other | |||||
主題 | Adjusted Solow Residual | |||||
キーワード | ||||||
主題Scheme | Other | |||||
主題 | Capital Utilization | |||||
キーワード | ||||||
主題Scheme | Other | |||||
主題 | JEL Classification Numbers: O47, O30, G12 | |||||
資源タイプ | ||||||
資源タイプ識別子 | http://purl.org/coar/resource_type/c_18gh | |||||
資源タイプ | technical report | |||||
アクセス権 | ||||||
アクセス権 | metadata only access | |||||
アクセス権URI | http://purl.org/coar/access_right/c_14cb | |||||
著者 |
Lee, Jeong-Joon
× Lee, Jeong-Joon |
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著者所属 | ||||||
値 | Towson University | |||||
抄録 | ||||||
内容記述タイプ | Abstract | |||||
内容記述 | The purpose of this study is to examine the effects of a measured aggregate productivity shock on asset returns. To achieve this, a simple equilibrium business cycle model is presented to show that an aggregate productivity shock can be identified as a factor affecting asset returns. The paper uses the Solow residual to measure productivity changes, but deviates from standard practice by incorporating variations in capital utilization rates. The paper first develops the theoretical link between productivity shocks and asset returns with no adjustment costs, and then tests that link with the two measures of productivity, the Solow residual with and without variation in capital utilization. Results based on U.S post-war data show significant differences in the dynamic impacts of these two measures of productivity. The VAR evidence suggests that technology changes, measured with variation in capital utilization, have a delayed impact on asset returns, a distinct finding. Finally, policy implications of the findings are discussed. | |||||
内容記述 | ||||||
内容記述タイプ | Other | |||||
内容記述 | 本文フィルはリンク先を参照のこと | |||||
書誌情報 |
Discussion paper series. CIRJE-F 巻 CIRJE-F-396, 発行日 2006-01 |
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書誌レコードID | ||||||
収録物識別子タイプ | NCID | |||||
収録物識別子 | AA11450569 | |||||
フォーマット | ||||||
内容記述タイプ | Other | |||||
内容記述 | application/pdf | |||||
日本十進分類法 | ||||||
主題Scheme | NDC | |||||
主題 | 330 | |||||
出版者 | ||||||
出版者 | 日本経済国際共同センター | |||||
出版者別名 | ||||||
値 | Center for International Research on the Japanese Economy | |||||
関係URI | ||||||
識別子タイプ | URI | |||||
関連識別子 | http://www.cirje.e.u-tokyo.ac.jp/research/dp/2006/2006cf396ab.html |