Intangible Capital and Stock Prices

摘要

This paper develops a two-sector dynamic stochastic general equilibrium model to measure intangible capital stock and studies the implied riskiness of market value of capital. The equilibrium of the economy is characterized by a state-space representation of dynamic system. Kalman filter algorithm is used to produce an estimate of the value of intangible capital stock based on the observed data on macroeconomic variables and asset prices. With modest capital adjustment cost, the model implies that significant amount of intangible capital is accumulated during past 50 years in US economy but the growth of intangible capital in the last decade is not as fast as the estimates of Hall (2001). Variation in intangible capital estimated from aggregate macroeconomic variables,accounts for almost half of the variability in the market-to-book ratio of nonfinancial and nonfarm corporate firms.