Recent studies find that idiosyncratic risk (IR) has increased since the 1960's and attribute this to economy wide factors such as the role of the IT revolution. To gain further insights into why IR has increased over time, our paper uses industry level data and firm level data to study if...

This paper investigates the dynamics of wages and profits and the influence innovation strategies have on them. The relationships between innovation, productivity, and distribution are modeled and estimated by employing panel data techniques. Two European innovation surveys (1994-96 and...

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 2006). Yet innovation data is not used in these analyses, leaving the direct relationship between...

This paper develops 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...

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...

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...

This article 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...

[fre] Cet article propose que les micro et macro économistes s'intéressant à la dynamique de la création destructrice gagneraient en pertinence en utilisant des indices rendant compte de l'effet de l'innovation sur la position « relative » des firmes. Ceci est dû à l'effet (souvent)...

The inclusion of labor market frictions in the new Keynesian DSGE model overcomes the main drawbacks of the baseline framework. In this paper we show that this extended model, by assuming real wage rigidities, does not replicate the correct wage dynamics and the negative conditional correlation...