G2TT
来源类型Discussion paper
规范类型论文
来源IDDP1104
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
URLhttps://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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