work with Bart Verspagen (Los & Verspagen, 1999) appeared to be a source of ..... innovation diminish (the lpool of productivity enhancing innovations\ gets ...
(QGRJHQRXV*URZWKDQG6WUXFWXUDO&KDQJH LQD'\QDPLF,QSXW2XWSXW0RGHO %DUW/RV 8QLYHUVLW\RI*URQLQJHQ )DFXOW\RI(FRQRPLFV 6205HVHDUFK,QVWLWXWH 32%R[ 1/$9*URQLQJHQ HPDLOEORV#HFRUXJQO
3DSHUSUHSDUHGIRUWKHWK,QWHUQDWLRQDO&RQIHUHQFHRQ,QSXW2XWSXW7HFKQLTXHV $XJXVW0DFHUDWD,WDO\
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
´,QSXWRXWSXW DQDO\VLV LV D JHQHUDO PHWKRGRORJLFDO DSSURDFK GHVLJQHG WR UHGXFH WKH VWHDGLO\ ZLGHQLQJJDSEHWZHHQIDFWXDOREVHUYDWLRQDQGGHGXFWLYHWKHRUHWLFDOUHDVRQLQJWKDWWKUHDWHQVWR FRPSURPLVHWKHLQWHJULW\RIHFRQRPLFVDVDQHPSLULFDOVFLHQFHµ/HRQWLHIS :K\GLG,2GULIWDZD\IURPPDLQVWUHDPHFRQRPLFVRUWKHRWKHUZD\URXQG " ,Q P\ RSLQLRQ IRXUPDMRUFDXVHVFDQEHLGHQWLILHG)LUVWIURPWKHPLGVHYHQWLHVRQZDUGVIDLWKLQWKHDELOLW\RI PDUNHW PHFKDQLVPV WR \LHOG ¶VRFLDOO\ RSWLPDO·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·V XOWLPDWHO\ XQVXFFHVVIXO VXSSO\VLGH ,2 TXDQWLW\ PRGHO E\ PRUH FRQVLVWHQW PHWKRGVWRDQDO\]HHIIHFWVRIVXSSO\UHVWULFWLRQVIRULQVWDQFHFRQFHUQLQJDJULFXOWXUDOSURGXFWLRQ
7KLV VWDWHPHQW UHODWHV PRVW VWURQJO\ WR ¶WUDGLWLRQDO· ,2 DQDO\VLV &RQWULEXWLRQV RQ &*(PRGHOLQJ DQG LQWHULQGXVWU\WHFKQRORJ\IORZVVRPHWLPHVIHDWXUHLQWRSMRXUQDOVZLWKDQHPSLULFDOIODYRU
1
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·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¶/HRQWLHI'XFKLQ6]\OG·PRGHO'XFKLQ 6]\OGDQG/HRQWLHI 'XFKLQ LQWKHPLG HLJKWLHVWKHIRFXVRIWKHPDMRULW\RIHPSLULFDOLQSXWRXWSXWVWXGLHVVHHPVWREHRQSUHGLFWLRQRI
2RVWHUKDYHQ FRQYLQFLQJO\VKRZHGWKH IODZV RI WKH VXSSO\GULYHQ PRGHO 'LHW]HQEDFKHU UHFHQWO\ GHPRQVWUDWHGWKDWWKLVPRGHOVKRXOGQRWEHFRQVLGHUHGDVDTXDQWLW\PRGHOEXWDVDSULFHPRGHO
,WVKRXOGEHTXHVWLRQHGZKHWKHULWLVZRUWKZKLOHWRSXUVXHDFFHSWDQFHE\PDLQVWUHDPHFRQRPLVWVLIWKLVZRXOG UHTXLUH,2UHVHDUFKHUVWRFKDQJHWKHLUDWWLWXGHVWRZDUGVWKHQDWXUHRIHFRQRPLFSKHQRPHQD,VXSSRVHWKDWPRVW ,2 UHVHDUFKHUV ZRXOG OLNH WR EH DFFHSWHG PRUH ZLGHO\ DV ORQJ DV WKH ¶FRUH· RI WKHLU PHWKRGV FDQ EH OHIW XQFKDQJHG2IFRXUVHWKLVUDLVHVWKHTXHVWLRQZKDWEHORQJVWRWKHFRUHRI,2DQDO\VLVDQGZKDWGRHVQRW
7KHODEHOV¶HQGRJHQRXVJURZWKWKHRU\· ¶QHZJURZWKWKHRU\·¶5 'GULYHQJURZWK WKHRU\· DQG ¶6FKXPSHWHULDQ JURZWKWKHRU\·DUHRIWHQXVHGLQWHUFKDQJHDEO\LQWKHOLWHUDWXUH(DFKRIWKHVHDOWHUQDWLYHVKDVLWVGUDZEDFNV)RU FRQYHQLHQFH,ZLOOVWLFNDVPXFKDVSRVVLEOHWRWKHODEHO¶HQGRJHQRXVJURZWKWKHRU\·
1RWHWKDWWKLVFRQFOXVLRQFRXOGLQGXFHD VPDOO VKLIW IURP OLEHUDO IUHH PDUNHW SROLFLHV WR D YHU\ JHQWOH IRUP RI ¶SODQQLQJ·ZKLFKZRXOGEHDPRYHRSSRVLWHWRWKHRQHPHQWLRQHGDVRQHRIWKHFDXVHVRIZDQLQJLQWHUHVWLQ,2 HFRQRPLFV
2
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¶RSWLPDO 5 ' LQYHVWPHQW OHYHOV· EHFDXVH LW LV WKH DVSHFW RI WKH HQGRJHQRXV JURZWK WKHRU\ZKLFKLVPRVWLPSRUWDQWIRUSROLF\PDNHUV6RPHLOOXVWUDWLRQVRIWKHSRWHQWLDOSRZHURI IXWXUHLQSXWRXWSXWHQGRJHQRXVJURZWKPRGHOVLQLQWHJUDWLQJLVVXHVOLNHWHFKQRORJ\LQYHVWPHQW WUDGHDQGHGXFDWLRQDUHJLYHQLQWKHFRQFOXGLQJ6HFWLRQ
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¶6FKXPSHWHULDQ·DQGLWKDVWRDVVXPHWKDWILUPVUDWLRQDOO\RSWLPL]H WKHLU SURILWV 7KH ILUVW FULWHULRQ LPSOLHV WKDW JURZWK RI RXWSXW DQG SURGXFWLYLW\ PXVW EH ´JHQHUDWHG WKURXJK WKH LQWURGXFWLRQ RI QHZ JRRGV RU SURFHVVHV DV RSSRVHG WR SK\VLFDO RU KXPDQ FDSLWDO DFFXPXODWLRQµ 'LQRSRXORV 7KRPSVRQ S ,W WKXV H[FOXGHV WKH WUDGLWLRQDOQHRFODVVLFDOPRGHOLQZKLFKORQJUXQSURGXFWLYLW\JURZWKHTXDOVWKHH[RJHQRXVUDWHRI WHFKQRORJLFDO SURJUHVV DV ZHOO DV 3RVW.H\QHVLDQ JURZWK WKHRULHV LQ ZKLFK WKH UDWH RI H[SRUW
3
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´WKHSRWHQWLDOVSLOORYHUSRROµ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¶YHUVLRQ·RIWKH SURGXFW %\ VHWWLQJ WKHLU SULFHV DSSURSULDWHO\ ILUPV ZLOO LQ SULQFLSOH EH DEOH WRHDUQ HQRXJK WR
,QDYHU\UHFHQWSDSHU.XU] 6DOYDGRUL DUJXHZK\WKHVWDQGDUGG\QDPLFLQSXWRXWSXWPRGHOVKRXOGDOVR EHORQJ WR WKH EURDG FODVV RI HQGRJHQRXV JURZWK PRGHOV &OHDUO\ WKLV PRGHO GRHV QRW EHORQJ WR WKH 6FKXPSHWHULDQPRGHOVEHFDXVHRXWSXWJURZWKLVVROHO\FDXVHGE\FDSLWDODFFXPXODWLRQ
4
FRPSHQVDWHIRUWKHLU5 'H[SHQGLWXUHV,QWKHVHVHFRQGZDYHQHZJURZWKWKHRULHVDWOHDVWWZR VHFWRUVDUHGLVWLQJXLVKHG 7KH 5 ' VHFWRU W\SLFDOO\ SURGXFHV WZR JRRGV GHVLJQV ¶EOXHSULQWV· IRU QHZ JRRGV DQG JHQHUDO NQRZOHGJH 7KH EOXHSULQWV FDQ EH XVHG LQ HLWKHU WKH LQWHUPHGLDWH JRRGVVHFWRURUWKHFRQVXPSWLRQJRRGVVHFWRUGHSHQGLQJRQWKHSDUWLFXODUPRGHO$VEOXHSULQWV SURYLGH¶UHFLSHV·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¶LQFUHDVLQJYDULHW\·DQG¶TXDOLW\ODGGHUV· ,Q *URVVPDQ +HOSPDQ DQG 5RPHU WKH RXWSXW RI WKH UHVHDUFK VHFWRU PHDVXUHG LQ EOXHSULQWV GHSHQGV RQ LWV ODERU LQSXWV DQG WKH DYDLODELOLW\ RI VSLOOHG JHQHUDO NQRZOHGJH 7KH EOXHSULQWV IRU QHZ LQWHUPHGLDWH JRRGV GR QRW FRQVWLWXWH TXDOLW\ LQFUHDVHV ,QVWHDGLWLVDVVXPHGWKDWWKHH[SDQGLQJYDULHW\RILQWHUPHGLDWHLQSXWVHQKDQFHVSURGXFWLYLW\LQ WKHFRQVXPHUJRRGVVHFWRUEHFDXVHPRUHVSHFLDOL]HGLQSXWVFDQEHXVHG7KHSRVLWLYHNQRZOHGJH VSLOORYHUVLQWKH¶LQFUHDVLQJYDULHW\·PRGHOVFDXVHWKHHTXLOLEULXP5 'H[SHQGLWXUHVWREHORZHU WKDQGHVLUDEOHIURPDVRFLDOSRLQWRIYLHZILUPVEDVHWKHLU5 'GHFLVLRQVRQWKHSULYDWHUHWXUQV WRUHVHDUFKZKLFKDUHORZHUWKDQWKHVRFLDOUHWXUQV $JKLRQ +RZLWW DVVXPH WKDW HDFK QHZ EOXHSULQW IRU HDFK RI D QXPEHU RI LQWHUPHGLDWH JRRGV ORZHUV WKH SURGXFWLRQ FRVWV RI WKH XQLTXH FRQVXPSWLRQ JRRG .QRZOHGJH VSLOORYHUVDUHHPERGLHGLQWKHSUHYLRXVEOXHSULQWSRVVLEO\LQYHQWHGE\VRPHRWKHUILUPZKHQDQ LQQRYDWLRQ RFFXUV WKH HQWLUH UHVHDUFK VHFWRU LV DVVXPHG WR KDYH REWDLQHG WKH XQGHUO\LQJ NQRZOHGJH&RQVHTXHQWO\DOORWKHU ILUPV FDQ XVH WKHLU 5 ' LQSXWV WR GHVLJQ QHZ LQQRYDWLRQV WKDW UHGXFH SURGXFWLRQ FRVWV IXUWKHU *URVVPDQ +HOSPDQ H[SORLW D VLPLODU LGHD DOWKRXJKWKH\ GR QRW GLVWLQJXLVK DQ LQWHUPHGLDWH JRRGV SURGXFLQJ VHFWRU ,Q WKHLU PRGHO HDFK LQQRYDWLRQ LPSOLHV D VWHS XS WKH ¶TXDOLW\ ODGGHU· RI RQH RI YDULRXV LPSHUIHFWO\ VXEVWLWXWDEOH FRQVXPHUJRRGV$Q\5 'SURMHFWLVDVVXPHGWRXVHWKHJHQHUDONQRZOHGJHDVVRFLDWHGZLWKWKH FRQVXPHU JRRG ZLWK WKH KLJKHVW TXDOLW\ VR IDU 7KH OHQJWK RI WKH WLPH SHULRG EHWZHHQ WZR VXFFHVVLYHLQQRYDWLRQVGXULQJZKLFKLQQRYDWLRQUHQWVFDQEHHDUQHG LVDVWRFKDVWLFYDULDEOHLQ ERWKPRGHOVVLQFHLQQRYDWLRQVDUHDVVXPHGWRDUULYHDFFRUGLQJWRD3RLVVRQSURFHVV7KHPHDQ QXPEHURILQQRYDWLRQVSHUWLPHSHULRGLVDVVXPHGWREHGHWHUPLQHGE\WKHDPRXQWRIODERURU
,Q PDQ\ FRQWULEXWLRQV WR WKH ,2OLWHUDWXUH WKH ZRUGV ¶VHFWRU· DQG ¶LQGXVWU\· DUH PRUH RU OHVV V\QRQ\PV 7KH GLIIHUHQFHEHWZHHQWKHQRWLRQVRI¶VHFWRUV·DQG¶LQGXVWULHV·LQWKLVSDSHUVKRXOGWKHUHIRUHEHQRWHG,XVHWKHWHUP ¶VHFWRU·IRUWKRVHSDUWVRIWKHHFRQRP\WKDWSURGXFHRXWSXWVWKDWVHUYHDFRPPRQJRDOWKURXJKRXWWKHHFRQRP\ OLNH EOXHSULQWV DQG NQRZOHGJH WKH 5 ' VHFWRU RU FRQVXPSWLRQ JRRGV WKH FRQVXPSWLRQ JRRGV VHFWRU 7KH WHUP¶LQGXVWU\·UHIHUVWRWKRVHSDUWVRIWKHHFRQRP\WKDWKDYHFHUWDLQVLPLODULQWULQVLFFKDUDFWHULVWLFVRUGHVLJQV IRUVXFKRXWSXWV OLNHFKHPLFDOSURGXFWVRUEXVLQHVVVHUYLFHV*LYHQWKHVH¶GHILQLWLRQV·SDUWVRIVHYHUDOVHFWRUV FRXOGZHOOEHSUHVHQWZLWKLQRQHLQGXVWU\DQGWKHRWKHUZD\URXQG
5
KXPDQFDSLWDO HPSOR\HGLQWKH5 'SURFHVV$OWKRXJKWKH¶TXDOLW\ODGGHU·PRGHOVDOVRFRQWDLQ SRVLWLYH NQRZOHGJH VSLOORYHUV WKH\ GR QRW\LHOG FRQFOXVLRQV LGHQWLFDO WR WKH ¶LQFUHDVLQJ YDULHW\· PRGHOV GXH WR WKH H[LVWHQFH RI D FRXQWHUYDLOLQJ IRUFH :KHQ D ILUP WKLQNV RI LQYHVWLQJ LQ DQ 5 'SURMHFWLWZLOO¶FDOFXODWH·ZKHWKHULWVH[SHFWHGUHYHQXHVZLOOH[FHHGLWVFRVWVZLWKRXWWDNLQJ LQWRDFFRXQWWKDWWKHVWUHDPRIUHYHQXHVRIWKHFXUUHQWEHVWEOXHSULQWLVLPPHGLDWHO\FHDVHG6R 5 'SURMHFWVFDXVHDQHJDWLYHH[WHUQDOLW\WRRDQGLWGHSHQGVRQWKHUHODWLYHPDJQLWXGHVRIWKLV QHJDWLYH ¶FUHDWLYH GHVWUXFWLRQ·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
; > W @ = Λ> W @/ 3 > W @
& >W @ Λ = γ/ 5 > W @ Λ> W @
1RWHWKDWP\XVHRIV\PEROVLVGLIIHUHQWIURP'LQRSRXORV 7KRPSVRQ·V 7KHPHDQLQJVRIWKHV\PEROV LQWURGXFHGKHUHFRUUHVSRQGDVFORVHO\DVSRVVLEOHWRLGHQWLFDOV\PEROVLQWKHLQWHULQGXVWU\PRGHO
6
7KHILUVWHTXDWLRQVWDWHVWKDWRXWSXW;RIWKHRIWKHFRPPRGLW\SURGXFLQJVHFWRUGHSHQGVRQWKH SUHYDLOLQJODERUSURGXFWLYLW\LQSURGXFWLRQΛDQGWKHDPRXQWRIODERUGHYRWHGWRWKLVVHFWRU/3 (TXDWLRQ LPSOLHVWKDWWKHSURSRUWLRQDOFKDQJHRIODERUSURGXFWLYLW\LVDOLQHDUIXQFWLRQRIWKH DPRXQWRIODERUDOORFDWHGWR5 '/57KHSDUDPHWHUγLVDPHDVXUHRIODERUSURGXFWLYLW\LQWKH 5 'VHFWRU7KHIDFWWKDWWKLVSDUDPHWHULVGHSHQGHQWQHLWKHURQWLPHQRURQSUHYLRXVO\DWWDLQHG SURGXFWLYLW\ LPSURYHPHQWV UHIOHFWV WKH HIIHFWV RI NQRZOHGJH VSLOORYHUV 7KH IXOO HPSOR\PHQW FRQGLWLRQ ZKLFK WKH QHZ JURZWK OLWHUDWXUH DVVXPHV WR EH IXOILOOHG DXWRPDWLFDOO\ HQVXUHV WKDW ODERUVXSSO\/HTXDOVWKHVXPRI/3DQG/51RZNHHSLQJLQPLQGWKDWVWHDG\VWDWHVLQWKLVRQH IDFWRUPRGHOPXVWEHFKDUDFWHUL]HGE\DFRQVWDQWSURSRUWLRQ/5/WKHVWHDG\VWDWHJURZWKUDWH RIRXWSXWSHUFDSLWD[FDQEHVKRZQWRHTXDO
& > W @ /5 > W @ [& > W @ Λ /> W @ = = γ [ > W @ Λ> W @ /> W @
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
,W VKRXOG EH QRWHG KRZHYHU WKDW %DFNXV HW DO RIIHUV RQO\ FLUFXPVWDQWLDO HYLGHQFH UHJDUGLQJ WKH ILUVW K\SRWKHVLV VLQFH WKH FHWHULV SDULEXV FRQGLWLRQV HJ HTXDO UDWLRV RI 5 ' ODERU WRW WRWDO ODERU DUH FHUWDLQO\ QRW IXOILOOHG LQ WKHLU VDPSOH RI FRXQWULHV )XUWKHU *'3 LV QRW DQ LGHDO PHDVXUH RI VFDOH IRU WHVWLQJ WKH VLPSOH PRGHOEHFDXVHFURVVFRXQWU\*'3GLIIHUHQFHVFRXOGDOVREHFDXVHGE\GLIIHUHQWFDSLWDOODERUUDWLRV
7
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
& > W @ γ /5 > W @ [& > W @ Λ /> W @ = = [ > W @ Λ> W @ γ> W @ /> W @
1RZWKHSURGXFWLYLW\RIODERUHPSOR\HGLQ5 'LQWHUPVRISURGXFWLYLW\JDLQV LVQRORQJHU FRQVWDQW 7KH HTXDWLRQ VKRZV WKDW DEVHQFH RI VFDOH HIIHFWV LV HQVXUHG LI DQG RQO\ LI WKLV SURGXFWLYLW\ γ γ> W @ GHFOLQHVLQWKHVWHDG\VWDWHDWDUDWHH[DFWO\HTXDOWRWKHVWHDG\VWDWHJURZWK UDWHRIODERUVXSSO\/$V-RQHV HPSKDVL]HVHTXDWLRQ RIIHUVWKHRSSRUWXQLW\WRFODVVLI\ WKHRULHVRI5 'GULYHQJURZWKLQWRWKUHHJURXSV)LUVWLIγ>W@LVFRQVWDQWRUJURZVVORZHUWKDQ/ OLNH LQ WKH PRGHO GLVFXVVHG DERYH WKH WKHRU\ LV DQ ¶HQGRJHQRXV JURZWK WKHRU\ ZLWK VFDOH HIIHFWV·6HFRQGLIγ>W@JURZVIDVWHUWKDQ/WKHPRGHOFRXOGEHFDOOHGD¶VHPLHQGRJHQRXVJURZWK WKHRU\· )LQDOO\ LI γ>W@ JURZV H[DFWO\ DV IDVW DV / WKH WKHRU\ FRXOG EH FDOOHG DQ ¶HQGRJHQRXV JURZWKPRGHOZLWKRXWVFDOHHIIHFWV·,WVKRXOGEHPHQWLRQHGKRZHYHUWKDWWKHVHJURXSQDPHV DUHVXEMHFWWRGHEDWH 7KH ILUVW VHPLHQGRJHQRXV PRGHO ZDV IRUPXODWHG E\ -RQHV E IROORZHG E\ .RUWXP DQG 6HJHUVWURP 7KHLU PRGHOV DUH EDVHG RQ WKH QRWLRQ WKDW RSSRUWXQLWLHV IRU LQQRYDWLRQ GLPLQLVK WKH ¶SRRO RI SURGXFWLYLW\HQKDQFLQJ LQQRYDWLRQV· JHWV ILVKHG RXW ZKLFK LPSOLHV WKDW PRUH UHVRXUFHV KDYH WR EH DOORFDWHG WR 5 ' DFWLYLWLHV LQ RUGHU WR PDLQWDLQ D FRQVWDQW SURGXFWLYLW\ JURZWK UDWH 7KHVH PRGHOV ERLO GRZQ WR HTXLYDOHQWV RI WKH IROORZLQJ SURGXFWLYLW\JURZWKHTXDWLRQ
& >W @ γ [& > W @ Λ = = [ > W @ Λ> W @ Λ> W @
−ϕ
/5 > W @ /> W @ /> W @
LQZKLFKϕ LV D PHDVXUH RI WKH VSHHG DW ZKLFK 5 ' EHFRPHV OHVV SURGXFWLYH DV WHFKQRORJ\ DGYDQFHV,QWKHVWHDG\VWDWHSURGXFWLYLW\JURZVDFFRUGLQJWR
'LQRSRXORV 7KRPSVRQ IRU H[DPSOH SUHIHU WR GHQRWH PRGHOV EHORQJLQJ WR WKH VHFRQG JURXS E\ ¶H[RJHQRXV JURZWK PRGHOV· 0RUHRYHU -RQHV DUJXHV WKDW WKH SKUDVH ¶ZLWKRXW VFDOH HIIHFWV· LV PLVWDNHQ ZLWKUHVSHFWWRWKHWKLUGJURXSRIPRGHOV
8
& Λ ν = Λ − ϕ
ZLWK ν LQGLFDWLQJ ERWK WKH SRSXODWLRQ JURZWK UDWH DQG WKH JURZWK UDWH RI ODERU HPSOR\HG LQ 5 ' 7KH VWHDG\ VWDWH SURGXFWLYLW\ JURZWK UDWH LV WKXV SURSRUWLRQDO WR WKH SRSXODWLRQ JURZWK UDWH 1HYHUWKHOHVVWKHSURGXFWLYLW\DQGRXWSXWOHYHOVZKLFKFRUUHVSRQGWRWKHJURZWKSDWKDUH SRVLWLYHO\UHODWHGWRXSZDUGFKDQJHVLQWKHIUDFWLRQRIODERUGHYRWHGWR5 ' &RQWULEXWRUVWRWKHHQGRJHQRXVJURZWKWKHRULHVZLWKRXWVFDOHHIIHFWVIRUH[DPSOH3HUHWWR 6PXOGHUV W + @ = = 5F > W @ ⋅ /× 5V > W + @
F :DJHVSULFHVDQGSURILWV ,Q WKH ,2 OLWHUDWXUH SULFHV DUH RIWHQ FRPSOHWHO\ GHWHUPLQHG E\ VXSSO\VLGH IDFWRUV ,Q PRGHOV ZLWKRXW FDSLWDO JRRGV SULFHV DUHDVVXPHG WR EH D IXQFWLRQ RI WKH QRPLQDO ZDJH UDWH ZKLFK LV
,QPRVW&*(PRGHOVSULFHVDQGTXDQWLWLHVDUHGHWHUPLQHGVLPXOWDQHRXVO\,QWKHSUHVHQWPRGHOLQGXVWULHVDUH DVVXPHG WR EH H[WUHPHO\ EDFNZDUGORRNLQJ PRVW TXDQWLWLHV DUH DVVXPHG WR EH VHW WDNLQJ RQO\ SUHYLRXV SULFHV LQWR DFFRXQW ZKLOH SULFHV DUH VHW DFFRUGLQJ WR SUHYLRXV WHFKQRORJLFDO VWDQGDUGV $ PRGHO ZLWK PRUH IRUZDUG ORRNLQJH[SHFWDWLRQVVKRXOGEHUHJDUGHGDVPRUHUHDOLVWLFEXWZRXOGLQWURGXFHDOONLQGVRIFRPSOH[LWLHVZKLFK ZRXOGSUREDEO\QRWDGGWRWKHXQGHUVWDQGLQJRIWKHJURZWKSURFHVVLQDQLQWHULQGXVWU\FRQWH[W
14
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
(
)(
)
× − > W @ ( − $> W @ − = 5 > W + @; × − > W @ − S ′> W + @ = Z> W @ O ′F3 > W @ + O ′V5 > W + @; V
LQZKLFKLWLVLPSOLFLWO\VXSSRVHGWKDWLQGXVWULHVDUHDOVREDFNZDUGORRNLQJZLWKUHVSHFWWRWKHLU H[SHFWDWLRQVWKDWWKHLUVDOHVOHYHOVZLOO UHPDLQ XQFKDQJHG , ZLOO DVVXPH WKDW WKH QRPLQDO ZDJH UDWH LV VWDEOH DQG WUHDW LW DV D QXPp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¶WKH HFRQRP\· FDQ FKRRVH IRU D SDUWLFXODU FRPELQDWLRQ RI LQYHVWPHQW LQ 5 ' DQG FXUUHQW FRQVXPSWLRQ 7KLV LPSRUWDQW WUDGHRII DOVR FKDUDFWHUL]HV WKH HQGRJHQRXVJURZWKWKHRULHVGLVFXVVHGLQ6HFWLRQEXWLVQRZH[WHQGHGWRWKHLQGXVWU\OHYHO
6HH'LHW]HQEDFKHU /RV IRUDQHPSLULFDODFFRXQWRIWKHSULFHHIIHFWVRI5 'H[SHQGLWXUHV
15
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− O V* > W + @ = O 3F > W @′(( − $> W @)− E> W + @F > W + @
7KHOHIWKDQGVLGHGHQRWHVWKHGLIIHUHQFHEHWZHHQWKHPD[LPXPODERUVXSSO\ O PD[ DQGWKHSDUW RI WKLV ODERU VXSSO\ ZKLFK LV ¶DEVRUEHG· E\ WKH SURGXFWLRQ RI WKH PDWHULDOV IRU 5 ' DQG WKH LQWHUPHGLDWHLQSXWVUHTXLUHGIRUWKLVSURGXFWLRQDQGWKHODERULWVHOIHPSOR\HGLQ5 '7KDWLV O V* > W + @ ≡ O 3F > W @′(( − $> W + @)− = V5 > W + @H + H ′O V5 > W + @ )RU WKH PD[LPXP ODERU VXSSO\ D VLPSOHH[SRQHQWLDOJURZWKSDWWHUQLVPRGHOHG
O PD[ > W + @ = ( + ν )O PD[ > W @
7KHHYROXWLRQRIFRQVXPSWLRQVKDUHVEHTXDWLRQ LVJRYHUQHGE\FRPPRGLW\VSHFLILF(QJHO FXUYHVZKLFKZHUHLQWURGXFHGLQJURZWKWKHRU\E\3DVLQHWWL 7RPRGHOWKHVH,ERUURZDQ HOHJDQWVSHFLILFDWLRQIURP9HUVSDJHQ ZKLFKHQVXUHVWKDWFRQVXPSWLRQVKDUHVDOZD\VDGG XSWRRQH
[
) ]
(
× > W @ (E> W @ − E ) − % × >W @ − % × 7 ′E ⋅ (F> W @ − F > W − @) E> W + @ = E> W @ + %
,Q WKLV VSHFLILFDWLRQ E UHSUHVHQWV WKH FRQVXPSWLRQ VKDUHV ZKLFK SUHYDLO DW DQ LQILQLWH FRQVXPSWLRQOHYHO7KHHOHPHQWVτRIPDWUL[7LQGLFDWHKRZTXLFNFXUUHQWFRQVXPSWLRQOHYHOV DGDSW WR E ,I 7 LV FKRVHQ WR KDYH ]HURHV RQ WKH PDLQ GLDJRQDO DQG VXIILFLHQWO\ VPDOO
,Q WKHRU\ WKH OHIW KDQG VLGH RI HTXDWLRQ PLJKW EHFRPH QHJDWLYH ,I UHDVRQDEOH YDOXHV DUH FKRVHQ IRU WKH 5 'WRRXWSXWUDWLRVθDQGWKHLQSXWFRHIILFLHQWVLQ$WKLVSUREOHP\LHOGLQJQHJDWLYHFRQVXPSWLRQOHYHOV ZLOO QRWRFFXU
16
QRQQHJDWLYH YDOXHV HOVHZKHUH QHJDWLYH VKDUHV ZLOO QRW RFFXU DQG DFWXDO VKDUHV ZLOO FRQYHUJH PRQRWRQLFDOO\WRWKHLUDV\PSWRWLFYDOXHVLIFJURZVQRRYHUVKRRWLQJ *LYHQ WKH VROXWLRQ IRU F>W@ LQ HTXDWLRQ WKH YHFWRU RI RXWSXW OHYHOV [ LV GHWHUPLQHG XVLQJWKHVWDQGDUGVWDWLFRSHQ/HRQWLHIPRGHO [> W + @ = (( − $> W @)− (E> W + @F> W + @ + = V3 > W + @H )
7RJHWKHU WKH HTXDWLRQV FRQVWLWXWH WKH ,2 PRGHO RI 5 'GULYHQ JURZWK 'XH WR LWV LQGXVWU\GHWDLODQGLWVVWRFKDVWLFQDWXUHLWVHHPVLPSRVVLEOHWRVWXG\WKHORQJUXQEHKDYLRURIWKH PRGHOE\DQDO\WLFDOPHDQV,QVWHDGWKHQH[WVHFWLRQLVGHYRWHGWRDVHWRIVLPXODWLRQH[SHULPHQWV IRUDK\SRWKHWLFDOHFRQRP\
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
17
UHODWLYHO\ LPSRUWDQW NQRZOHGJH VSLOORYHUV WR WKH RWKHU LQGXVWULHV :LWKRXW VSLOORYHU HIIHFWV WKH PDJQLWXGH RI ZKLFK GHSHQGV RQ WKH LQGXVWU\ VWUXFWXUH LQGXVWU\ ·V SURGXFWLYLW\ JURZWK UDWH ZRXOG DYHUDJH VOLJKWO\ PRUH WKDQ ZKLOH VSHQGLQJ RI LWV SUHYLRXV VDOHV RQ 5 ' 7KLV LQGXVWU\ FDQ EH FRQVLGHUHG D PHGLXPWHFK LQGXVWU\ LQ WHUPV RI WKH RIWHQXVHG 2(&' FODVVLILFDWLRQ 7KH RWKHU WKUHH LQGXVWULHV KDYH 5 ' LQWHQVLWLHV RI RQO\ DQG GLIIHU ZLWK UHVSHFWWRWKHLURSSRUWXQLWLHVWREHQHILWIURPVSLOORYHUV6HWWLQJDVLGHWKHVHVSLOORYHUHIIHFWVWKHLU ODERUSURGXFWLYLW\ILJXUHVJURZDWLQGXVWU\ DQG UHVSHFWLYHO\ )LJXUH
)LJXUH VKRZV KRZ 5 ' GULYHQ SURGXFWLYLW\ JURZWK WUDQVODWHV LQWR FRQVXPSWLRQ JURZWK ,W IOXFWXDWHVWRVRPHH[WHQWGXHWRWKHVSHFLILHGUDQGRPFKDUDFWHURIWKHLQQRYDWLRQSURFHVVHV7KH ¶DPSOLWXGH·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
)LJXUH
,QVSHFWLRQRIDGLDJUDPVLPLODUWR)LJXUHIRUDQH[WHQGHGSHULRGQRWGRFXPHQWHGKHUH DOVRVKRZVWKDWWKH DJJUHJDWHODERUSURGXFWLYLW\JURZWKUDWHDV\PSWRWLFDOO\VHWWOHVDWDFRQVWDQWYDOXH
18
)LJXUH VKRZV WKDW DQ LQFUHDVLQJ SDUW RI WKH ODERU IRUFH JHWV DFWLYH LQ WKH ORZSURGXFWLYLW\ JURZWKLQGXVWULHVDQG$VVXFKWKHPRGHOUHVXOWVDUHRSSRVLWHWREXWUHFRQFLODEOHZLWKWKH ¶DJULFXOWXUDO UHVHUYH DUP\ RI ODERU·H[SODQDWLRQ RI JURZWK SURSRVHG E\ VRPH GHYHORSPHQW HFRQRPLVWV /HZLV 7KLV WKHRU\ DVFULEHV ODUJH SDUWV RI KLJK SURGXFWLYLW\ JURZWK UDWHV H[SHULHQFHG E\ IRUPHU XQGHUGHYHORSHG FRXQWULHV WR VKLIWV IURP ODERU IURP ORZSURGXFWLYLW\ DJULFXOWXUHWRKLJKSURGXFWLYLW\PDQXIDFWXULQJ 7KH UHVXOW WKDW ODERU LQSXWV LQ WKH KLJKWHFK DQG PHGLXPWHFK LQGXVWULHV DQG DOPRVW YDQLVKLVFOHDUO\QRWLQOLQHZLWKREVHUYHGIDFWV7KLVLVGXHWRWKHIDFWWKDWWKHPRGHOUHJDUGVDOO SURGXFWLYLW\LQFUHDVHVDVSURFHVVLQQRYDWLRQVZKHUHDV¶UHDO·KLJKWHFKLQGXVWULHVHJ¶FRPSXWHU PDQXIDFWXULQJ·DQG¶LQVWUXPHQWVPDQXIDFWXULQJ· DUHFKDUDFWHUL]HGE\SURGXFWLQQRYDWLRQVZKLFK ORZHU ODERU UHTXLUHPHQWV LQ GRZQVWUHDP LQGXVWULHV 7KH LQFRUSRUDWLRQ RI SURGXFW LQQRYDWLRQV VKRXOGWKHUHIRUHEHRQHRIWKHILUVWPRGHOLPSURYHPHQWVWREHVRXJKWIRU )LJXUH
)LJXUH FRQVLGHUV WKH FRPSRVLWLRQ RI JURVV RXWSXW 7KH GLIIHUHQFHV EHWZHHQ WKH LQLWLDO FRQVXPSWLRQ VKDUHV DQG WKH ¶VKDUHV DW LQILQLWH FRQVXPSWLRQ· OHDG WR DQ DGMXVWPHQW SURFHVV RI DERXWSHULRGV'XULQJWKLVSHULRGWKHFRQVXPSWLRQVKDUHVRILQGXVWULHVDQGGHFUHDVHWR WKHEHQHILWRIWKHWKUHHUHPDLQLQJLQGXVWULHV)RULQGXVWU\KRZHYHUWKHRXWSXWVKDUHDSSHDUV WRUHPDLQVWDEOHRYHUWLPH7KLVLVPDLQO\GXHWKHIDFWWKDWWKHODUJHPDMRULW\RI5 'PDWHULDOVLV DVVXPHGWREHGHOLYHUHGE\LQGXVWU\DPHFKDQLVPZKLFKLVQRWHIIHFWLYHIRULQGXVWU\7KLVLV D ILUVW UHVXOW ZKLFK LQGLFDWHV WKDW LQWHULQGXVWU\ OLQNDJHV PD\ EH YHU\ LPSRUWDQW IRU ORQJUXQ JURZWKDQGVWUXFWXUDOFKDQJH )LJXUH
19
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¶ZHOIDUH LQ WKH ORQJ UXQ· WKH QHW SUHVHQW YDOXH 139 RI FRQVXPSWLRQ DQG WKH DYHUDJHUHDO*'3JURZWKUDWH7KHIRUPHUZDVFDOFXODWHGDFFRUGLQJWR Σ( − δ ) F> W @ ZLWKδWKH UDWHRIWLPHSUHIHUHQFHGLVFRXQWUDWH IRUDSHULRGLQWHUYDO,UDQVLPXODWLRQVIRUHDFKRI ILYHVFHQDULRV7KHVHVFHQDULRVGRQRWGLIIHUZLWKUHVSHFWWRWKHLQLWLDOYDULDEOHFRQILJXUDWLRQWKH FKDQJHVDUHGXHWRFKDQJHVLQWKHVHWRISDUDPHWHUYDOXHV7KHVXPPDU\UHVXOWVIRUδ DUH LQ7DEOH W
7DEOH(FRQRP\ZLGHHIIHFWVRIHFRQRP\ZLGHFKDQJHV 0HDQ139 VWGGHY 0HDQDQQXDO VWGGHY FRQVXPSWLRQ *'3JURZWK
%HQFKPDUNFRQILJXUDWLRQ
3HUPDQHQW5 'LQFUHDVH
7HPSRUDU\5 'LQFUHDVH
1R6SLOORYHUV
1R5 'LQYHVWPHQW
139QHWSUHVHQWYDOXH
7KH ILUVW URZ ¶EHQFKPDUN FRQILJXUDWLRQ· LV REWDLQHG IRU WKH SDUDPHWHU YDOXHV JLYHQ LQ WKH DSSHQGL[$FWXDOO\WKHILUVWRIWKHWZHQW\UXQVIRUWKLVVFHQDULRZDVWKHRQHIRUZKLFKGLDJUDPV ZHUHSUHVHQWHGLQWKHSUHYLRXVVXEVHFWLRQ7KHYDULDWLRQLQ*'3JURZWKUDWHVDVHYLGHQFHGE\ WKH VWDQGDUG GHYLDWLRQ LQ WKH ULJKWPRVW FROXPQ DSSHDUV WR EH UHODWLYHO\ VPDOO 7KH VHFRQG VFHQDULR¶SHUPDQHQW5 'LQFUHDVH· VXSSRVHVWKDWHDFKRIWKHILYHLQGXVWULHVLQFUHDVHVLWV5 ' LQWHQVLW\θ E\IRUWKHHQWLUHWLPHVSDQRISHULRGV$SSDUHQWO\WKHLQLWLDOVDFULILFH RI FRQVXPSWLRQWRUHOHDVHODERUIRUDGGLWLRQDO5 'DQGWKHSURGXFWLRQRIWKHUHTXLUHGPDWHULDOVLQ RUGHUWRDWWDLQDKLJKHUJURZWKUDWHDSSUR[LPDWHO\SHU\HDU LVZRUWKZKLOHVLQFHWKH139 RI FRQVXPSWLRQ LV KLJKHU WKDQ LQ WKH EHQFKPDUN 7KH PRVW LPSRUWDQW FRQFOXVLRQ KRZHYHU LV WKDWWKHPRGHOLVDWUXHHQGRJHQRXVJURZWKPRGHOVLQFHDSHUPDQHQWFKDQJHLQWKHIUDFWLRQRI UHVRXUFHVGHYRWHGWR5 'DIIHFWVWKHORQJUXQJURZWKUDWH
20
7KHWKLUGVFHQDULR¶WHPSRUDU\5 'LQFUHDVH· LVGHILQHGWRVHHZKHWKHUWHPSRUDU\FKDQJHV LQ 5 ' LQWHQVLWLHV KDYH SHUPDQHQW HIIHFWV RU QRW 7KLV VFHQDULR LV LGHQWLFDO WR WKH EHQFKPDUN H[FHSWIRUWKHILUVWILYHSHULRGVLQZKLFK5 'HIIRUWVDUHGRXEOHGE\HYHU\LQGXVWU\)URPWKH UHSRUWHG PHDQ DQQXDO JURZWK UDWH IRU WKLV VFHQDULR FDOFXODWHG H[FOXGLQJ WKH ILUVW ILYH REVHUYDWLRQV FDQ EH FRQFOXGHG WKDW D WHPSRUDU\ FKDQJH KDV QR SHUPDQHQW HIIHFW RQ JURZWK 6LPXOWDQHRXVO\D SHUPDQHQW OHYHO HIIHFW LV SUHVHQW OLNH LQ WKH -RQHV E PRGHO 7KLV OHYHO HIIHFWJURZWKWRDKLJKHUFRQVXPSWLRQOHYHOGXULQJWKHVKRFNDQGHTXDOJURZWKUDWHVDIWHUZDUGV \LHOGVD139RIFRQVXPSWLRQKLJKHUWKDQLQWKHEHQFKPDUNFDVH 6FHQDULRIRXU¶QRVSLOORYHUV· DVVXPHVWKDWWKHLQGXVWULHVLQYHVWDVPXFKLQ5 'DVLQWKH EHQFKPDUN FDVH DQG H[SHULHQFH WKH VDPH SURGXFWLYLW\ HIIHFWV RI WKHLU RZQ 5 ' EXW FDQQRW EHQHILW IURP NQRZOHGJH VSLOORYHUV IURP RWKHU LQGXVWULHV DOO ηV DUH VHW WR ]HUR 7KLV KDV D VLJQLILFDQW QHJDWLYH HIIHFW RQ WKH ORQJUXQ JURZWK UDWH )XUWKHU WKH 139 RI FRQVXPSWLRQ LV FRQVLGHUDEO\ ORZHU 7KLV GRHV QRW FRPH DV D VXUSULVH DV VSLOORYHULQGXFHG SURGXFWLYLW\ JURZWK FRPHVGRHVQRWUHTXLUHDQ\VDFULILFHRIFXUUHQWFRQVXPSWLRQ 7KHILQDOVFHQDULR¶QR5 '· VLPSO\DVVXPHVWKDWQR5 'LVXQGHUWDNHQDWDOO7KHUHVXOWV DUHFOHDUWKHHFRQRP\LVFDXJKWLQDVWDWLRQDU\VLWXDWLRQZLWKRXWJURZWK7KHYHU\ORZ139RI IXWXUHFRQVXPSWLRQLVJHQHUDWHGE\DVWDEOHVHULHVRIFRQVXPSWLRQOHYHOV
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θ WR θ WZHQW\ VLPXODWLRQ UXQV ZHUH GRQH IRU SHULRGV7KHUHVXOWLQJQHWSUHVHQWYDOXHVRIFRQVXPSWLRQZHUHFRPSXWHGDQGDYHUDJHGRYHUWKH WZHQW\ UXQV IRU WHQ GLVFRXQW UDWHV UDQJLQJ IURP δ WR δ $OO DYHUDJH 193V ZHUH
2IFRXUVHWKLVZHOIDUHLPSURYHPHQWLVVWURQJO\GHSHQGHQWRQWKHVXSSRVHGGLVFRXQWUDWH7KLVLVVXHZLOOEHGHDOW ZLWKEHORZ
7KH YHU\ VPDOO DYHUDJH JURZWK UDWHV DQG WKH SRVLWLYH VWDQGDUG GHYLDWLRQV DSSHDU WR KDYH EHHQ FDXVHG E\ LQQRYDWLRQVLQWKHYHU\ILUVWSHULRGGXHWRDQHUURULQWKHLQLWLDOL]DWLRQYDOXHV7KLVZLOOEHFRUUHFWHGLQWKHQH[W YHUVLRQ
21
GLYLGHG E\ WKH PD[LPXP 193 IRXQG IRU WKH FRUUHVSRQGLQJ GLVFRXQW UDWH WR VHH ZKLFK 5 ' LQWHQVLW\LVRSWLPDO )LJXUH Optim al R&D intens ities (industry 2), various discount rates 0.99 0.25
0.98 0.97
0.2 theta-2
0.96 top
top
0.15
top
top
0.95 top 0.94
top 0.1
0.93 0.92
0.05 0.91