| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP4102 |
| DP4102 The European Phillips Curve: Does the NAIRU Exist? | |
| Dennis Snower; Marika Karanassou; Hector Sala | |
| 发表日期 | 2003-10-23 |
| 出版年 | 2003 |
| 语种 | 英语 |
| 摘要 | Surprisingly there are very few estimates of the equity risk premium period-by-period that satisfy a no-arbitrage condition, despite the vast literature on the subject. This is mainly due to the difficulties of estimation. Using the stochastic discount factor (SDF) model based on observable macroeconomic factors - as opposed to unobservable (latent) affine factors - and a new econometric methodology, we provide new estimates of the equity risk premium for the US and the UK based on monthly data 1975-2001. We obtain estimates of the risk premium for many of the best-known versions of consumption CAPM including time-separable power utility and time-nonseparable Epstein-Zin utility. We also show why many of the formulations of these models are unable to provide estimates of the risk premium. A related, and rapidly growing, literature that adopts a more statistical approach focuses on the empirical relation between the return on equity (or the Sharpe ratio) and return volatility. We argue that SDF theory implies that this relation is misconceived. |
| 主题 | Financial Economics ; International Macroeconomics |
| 关键词 | Equity risk premium Stochastic discount factor model Consumption capm Multivariate garch with no-arbitrage Epstein-zin model |
| URL | https://cepr.org/publications/dp4102 |
| 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/533077 |
| 推荐引用方式 GB/T 7714 | Dennis Snower,Marika Karanassou,Hector Sala. DP4102 The European Phillips Curve: Does the NAIRU Exist?. 2003. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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