Is the IT revolution over? An asset pricing view.
详细信息
文摘
I develop a new method that puts structure on financial market data to forecast economic outcomes. I apply it to study the IT sector's transition to its long-run share in the US economy,along with its implications for future growth. Future average annual productivity growth is predicted to fall to 52bps from the 87bps recorded over 1974--2012,due to intensifying IT sector competition and decreasing returns to employing IT. My median estimate indicates the transition ends in 2033. I estimate these numbers by building an asset pricing model that endogenously links economy-wide growth to IT sector innovation governed by the sector's market valuation,and by calibrating it to match historical data on factor shares,price-dividend ratios,growth rates,and discount rates. Consistent with this link,I show empirically that the IT sector's price-dividend ratio univariately explains nearly half of the variation in future productivity growth.