Arbeitspapier
Inflation, Human Capital and Tobin's q
A less well-known empirical finding for the US and UK is a pronounced low frequency negative relationship between inflation and Tobin's q; a normalized market price of capital. This stylized fact is explained within a dynamic stochastic general equilibrium model using three key features: (i) a Lucas and Prescott (1971) physical capital adjustment cost with a rising marginal cost of investment, (ii) production of human capital with endogenous growth and (iii) an inflation tax cash-in-advance economy. The baseline endogenous growth model matches the US inflation and q long term correlation, while comparable exogenous growth are unable to do this, and it outperforms the exogenous growth models in explaining business cycle volatilities of q and of stock returns.
- ISBN
-
978-615-5024-08-5
- Sprache
-
Englisch
- Erschienen in
-
Series: IEHAS Discussion Papers ; No. MT-DP - 2010/17
- Klassifikation
-
Wirtschaft
Price Level; Inflation; Deflation
Financial Markets and the Macroeconomy
Asset Pricing; Trading Volume; Bond Interest Rates
- Thema
-
Low frequency
Tobin's q
inflation tax
endogenous growth
Inflation
Tobins Q
Endogenes Wachstumsmodell
Dynamisches Gleichgewicht
USA
Großbritannien
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Basu, Parantap
Gillman, Max
Pearlman, Joseph
- Ereignis
-
Veröffentlichung
- (wer)
-
Hungarian Academy of Sciences, Institute of Economics
- (wo)
-
Budapest
- (wann)
-
2010
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Basu, Parantap
- Gillman, Max
- Pearlman, Joseph
- Hungarian Academy of Sciences, Institute of Economics
Entstanden
- 2010
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