| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP1104 |
| DP1104 Growth and Macroeconomic Performance in Spain, 1939-93 | |
| Leandro Prados de la Escosura | |
| 发表日期 | 1995-01-31 |
| 出版年 | 1995 |
| 语种 | 英语 |
| 摘要 | This paper examines the relationship between the equity premium and the risk free rate at three different maturities using post-1973 data for a panel of seven OECD countries. We show the existence of subsample instabilities, of some cross country differences and of inconsistencies with the expectations theory of the term structure. We perform simulations using a standard consumption based CAPM model and demonstrate that the basic features of Mehra and Prescott's (1985) puzzle remain, regardless of the time period, the investment maturity and the country considered. Modifications of the basic set-up are also considered. |
| 主题 | International Macroeconomics |
| 关键词 | Calibration Consumption based capm Equity premium Model evaluation Risk free rate Term structure |
| URL | https://cepr.org/publications/dp1104 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/530247 |
| 推荐引用方式 GB/T 7714 | Leandro Prados de la Escosura. DP1104 Growth and Macroeconomic Performance in Spain, 1939-93. 1995. |
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