International R&D Spillovers and Asset Prices

Ana Maria Santacreu and Federico Gavazzoni

No 405, 2015 Meeting Papers from Society for Economic Dynamics

Abstract: We document that international R&D spillovers through trade in varieties is a major driver of asset prices. We find that country pairs that share more R&D have more correlated stock market returns and less volatile exchange rates. Moreover, we show that countries that depend more heavily on their trading partner's R&D have currencies that tend to pay a positive excess return. We develop an endogenous growth model of innovation and international technology diffusion that rationalizes our empirical findings. A calibrated version of our model matches several important asset pricing and quantity moments, thus alleviating several of the classic quantity-price puzzles of the international macroeconomic literature.

Date: 2015
New Economics Papers: this item is included in nep-cse, nep-dge and nep-ino
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (17)

Downloads: (external link)
https://red-files-public.s3.amazonaws.com/meetpapers/2015/paper_405.pdf (application/pdf)

Related works:
Journal Article: International R&D spillovers and asset prices (2020)
Working Paper: International R&D Spillovers and Asset Prices (2015)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:red:sed015:405

Access Statistics for this paper

More papers in 2015 Meeting Papers from Society for Economic Dynamics Contact information at EDIRC.
Bibliographic data for series maintained by Christian Zimmermann ().