Indices that capture creative destruction: questions and implications

The paper argues that micro and macro economists interested in the dynamics of creative destruction can gain important insights by using indices that capture the effect of innovation on the relative position of firms. This is due to the uneven and 'destructive' effect that radical innovation has on firm rankings. One such index is the market share instability index. On the financial side, the excess volatility of stock prices and idiosyncratic risk also appear to capture the uneven dynamics of creative destruction. The paper concludes by considering the implications of these propositions for economy-wide growth during periods of radical innovation (e.g. GPTs)

Stock Price Volatility and Patent Citation Dynamics: the case of the pharmaceutical industry

Recent finance literature highlights the role of technological change in increasing firm specific and aggregate stock price volatility (Campbell et al. 2001, Shiller 2000, Pastor and Veronesi 2005). Yet innovation data is not used in these analyses, leaving the direct relationship between innovation and volatility untested. Our aim is to investigate more closely the relationship between stock price volatility and innovation using firm level patent citation data. The analysis builds on the empirical work by Mazzucato (2002; 2003) where it is found that stock price volatility is highest during periods in the industry life-cycle when innovation is the most '˜competence-destroying'. Here we ask whether firms which invest more in innovation (more R&D and more patents) and/or which have '˜more important' innovations (patents with more citations) experience more volatility. We focus the analysis on firms in the pharmaceutical and biotechnology industries between 1974 and 1999. Results suggest that there is a positive and significant relationship between idiosyncratic risk, R&D intensity and the various patent related measures. Preliminary support is also found for the '˜rational bubble' hypothesis linking both the level and volatility of stock prices to innovation

Innovation and Idiosyncratic Risk

The paper studies whether “idiosyncratic riskâ€, i.e. the degree to which firm and industry specific returns are more volatile than aggregate market returns, is higher in innovative industries which are characterized by more risk and uncertainty. Volatility is studied both at the industry level (for 34 different industries from 1974-2003) and at the firm level (for 5 industries with different levels of innovativeness: biotech, pharmaceuticals, computers, textile, agriculture). Findings are mixed. A relationship between innovation and volatility emerges most strongly with firm level data, when firm dimension is accounted for, and when time varying volatility is explicitly studied via GARCH analysis. The latter highlights the distinctive behavior of returns during the course of the industry life-cycle.idiosyncratic risk, volatility, innovation, industry life cycle

Monetary Policy, Rule-of-Thumb Consumers and External Habits: An International Comparison

This paper extends the standard New Keynesian dynamic stochastic general equilibrium (DSGE) model to agents who cannot smooth consumption (i.e. spenders) and are affected by external consumption habits. Although these assumptions are not new, their joint consideration strongly affects some theoretical and empirical results addressed by the recent literature. By deriving closed-form solutions, we identify different demand regimes and show that they are characterized by specific features regarding dynamic stability and monetary policy effectiveness. We also evaluate our model by stochastic simulations obtained from the Bayesian parameters estimates for the G7 economies. From posterior impulse response we address the empirical relevance of the different regimes and provide comparative evidence on the asymmetric effects of monetary policy, resulting from the heterogeneity of the estimated model structures.Rule-of-thumb, habits, monetary policy transmission, determinacy, New Keynesian

Monetary Policy under Rule-of-Thumb Consumers and External Habits

This paper develops and estimates a simple New Keynesian Dynamic Stochastic General Equilibrium (DSGE) model with rule-of-thumb consumers and external habits. Our theoretical model has a closed-form solution which allows the analytical derivation of its dynamical and stability properties. These properties are analyzed and discussed in the light of their implications for the efficacy and the calibration of the conduct of the monetary policy. The model is then evaluated empirically, employing numerical simulations based on Monte Carlo Bayesian estimates of the structural parameters and impulse response analyses based on weakly identified SVECMs. The estimates are repeated for each of the G7 national economies. Providing single country estimates and simulations, we derive some indications on the relative efficacy of monetary policy and of its potential asymmetric effects resulting from the heterogeneity of the estimated models.Rule-of-thumb, habits, monetary policy transmission, price puzzle, DSGE New Keynesian model, monetary policy, SVECM and Monte Carlo Bayesian estimators.

Monetary Policy, Rule-of-Thumb Consumers and External Habits: A G7 Comparison

This paper extends the standard New Keynesian dynamic stochastic general equilibrium (DSGE) model to agents who cannot smooth consumption (i.e. spenders) and are affected by external consumption habits. Although these assumptions are not new, their joint consideration strongly affects some theoretical and empirical results addressed by the recent literature. By deriving closed-form solutions, we identify different demand regimes and show that they are characterized by specific features regarding dynamic stability and monetary policy effectiveness. We also evaluate our model by stochastic simulations obtained from the Bayesian parameters estimates for the G7 economies. From posterior impulse responses we address the empirical relevance of the different regimes and provide comparative evidence on the heterogeneity of monetary policy effects among countries.Rule-of-thumb, habits, monetary policy transmission, determinacy, New Keynesian DSGE model, monetary policy, Monte Carlo Bayesian estimators.

È tutta questione di ipotesi. La spesa pensionistica nelle previsioni del FMI

Massimiliano Tancioni esamina un recente lavoro del FMI, che prevede una crescita sostenuta della spesa pensionistica in Italia nei prossimi decenni, e mostra, descrivendo la logica di base dei modelli di previsione pensionistica, che tale previsione è pressoché interamente determinata dalle ipotesi sulle variabili esogene. Tancioni sottolinea che, considerando l‘ampiezza degli orizzonti temporali adottati, le analisi proposte sono utili solo per verificare la sensibilità dei risultati rispetto alle diverse ipotesi formulate

L’abbandono del vincolo valutario e le sue conseguenze. Un contributo al dibattito tra Biasco e Rodano

Massimiliano Tancioni interviene nel dibattito tra Biasco e Rodano sugli effetti dell’abbandono del vincolo valutario, proponendo un ragionamento quantitativo basato su un modello che tiene conto dei punti sollevati da Biasco nella sua critica a Rodano. Svolgendo l’analisi in ottica comparativa, Tancioni giunge alla conclusione che uno scenario di uscita governato è in grado di produrre, nel medio termine, risultati macroeconomici migliori di quelli che scaturirebbero dalle politiche fiscali richieste dagli Obiettivi di Medio Termine

Stagnazione secolare o trappola della liquidità?

Il protrarsi della crisi economica ha indotto molti economisti a ipotizzare che sia in atto un cambiamento fondamentale nei meccanismi di funzionamento delle economie avanzate. Al riguardo Larry Summers ha recentemente parlato di “secular stagnation ”, riprendendo l’espressione di cui Alvin Hansen si servì nel 1938 per sostenere che alla Grande Depressione degli anni ’30 avrebbe fatto seguito un lungo periodo di bassa crescita per l’economia statunitense. Per capire quali siano i vantaggi di un cambiamento di prospettiva basato sull’ipotesi di stagnazione secolare, in questo articolo vengono definiti i) i caratteri macroeconomici che ne individuano l’esistenza; ii) le sue cause economiche; iii) le possibili soluzioni di policy. Si mostra che sul primo aspetto esiste una visione condivisa, basata sulla dinamica del tasso di crescita e del tasso di interesse reale, ma un sostanziale disaccordo emerge nell’analisi delle cause potenziali e, per necessità, nella valutazione delle possibilità e delle modalità dell’intervento correttivo