Aggregate returns to scale and embodied technical change: theory and measurement using stock market data
نویسندگان
چکیده
We develop a new general equilibrium growth accounting framework that features increasing returns to scale, imperfect competition and incorporates technological revolutions into the description of technical progress. We propose a way to tell apart revolutionary changes in technology and incremental innovations using stock market data. We use our framework to jointly estimate the overall embodied TFP change during 1953–1995 and the aggregate output elasticity. We find that the IT revolution raised the aggregate TFP level by about 20%. We suggest a 1.09–1.11 range for the aggregate returns to scale. r 2003 Elsevier B.V. All rights reserved. JEL classification: E44; O3; O41; O47
منابع مشابه
Performance Evaluation of the Technical Analysis Indicators in Comparison whit the Buy and Hold Strategy in Tehran Stock Exchange Indices
Technical analysis is one of the financial market analysis tools. Technical analysis is a method of anticipating prices and markets through studying historical market data. Based on the factors studied in this type of analysis, indicators are designed and presented to facilitate decision-making on buy and sell stress and then buy and sell action in financial markets. This research evaluates per...
متن کاملEffect of Oil Price Volatility and Petroleum Bloomberg Index on Stock Market Returns of Tehran Stock Exchange Using EGARCH Model
The present research aims to evaluate impacts of crude oil price return index, Bloomberg Petroleum Index and Bloomberg energy index on stock market returns of 121 companies listed in Tehran stock exchange in a 10 years' period from early 2006 to April 2016. First, explanatory variables were aligned with petroleum products index mostly due to application of dollar data. Subsequently, to check va...
متن کاملChaotic Test and Non-Linearity of Abnormal Stock Returns: Selecting an Optimal Chaos Model in Explaining Abnormal Stock Returns around the Release Date of Annual Financial Statements
For many investors, it is important to predict the future trend of abnormal stock returns. Thus, in this research, the abnormal stock returns of the listed companies in Tehran Stock Exchange were tested since 2008- 2017 using three hypotheses. The first and second hypotheses examined the non-linearity and non-randomness of the abnormal stock returns ′ trend around the release date of annual fin...
متن کاملPetrochemical Products Market and Stock Market Returns: Empirical Evidence from Tehran Stock Exchange
While the relationship between stock market return and oil price is of great interest to researchers, previous studies do not investigate stock market return with petrochemical products market. In this paper, we analyzed the relationship between prices of main petrochemical products and stock returns of petrochemical companies in Tehran stock exchange. Using a panel data model and GLS estimatio...
متن کاملRanking and Managing Stock in the Stock Market Using Fundamental and Technical Analyses
The stock selection problem is one of the major issues in the investment industry, which is mainly solved by analyzing financial ratios. However, considering the complexity and imprecise patterns of the stock market, obvious and easy-to-understand investment rules, based on fundamental analysis, are difficult to obtain. Fundamental and technical analyses are two common methods for predicting th...
متن کامل