| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP13595 |
| DP13595 The Total Risk Premium Puzzle | |
| Oscar Jorda; Moritz Schularick; Alan M. Taylor | |
| 发表日期 | 2019-03-18 |
| 出版年 | 2019 |
| 语种 | 英语 |
| 摘要 | The risk premium puzzle is worse than you think. Using a new database for the U.S. and 15 other advanced economies from 1870 to the present that includes housing as well as equity returns (to capture the full risky capital portfolio of the representative agent), standard calculations using returns to total wealth and consumption show that: housing returns in the long run are comparable to those of equities, and yet housing returns have lower volatility and lower covariance with consumption growth than equities. The same applies to a weighted total-wealth portfolio, and over a range of horizons. As a result, the implied risk aversion parameters for housing wealth and total wealth are even larger than those for equities, often by a factor of 2 or more. We find that more exotic models cannot resolve these even bigger puzzles, and we see little role for limited participation, idiosyncratic housing risk, transaction costs, or liquidity premiums. |
| 主题 | Economic History ; Financial Economics ; International Macroeconomics and Finance ; Macroeconomics and Growth |
| 关键词 | Consumption-based asset pricing Equity premium Housing premium Risk aversion |
| URL | https://cepr.org/publications/dp13595 |
| 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/542453 |
| 推荐引用方式 GB/T 7714 | Oscar Jorda,Moritz Schularick,Alan M. Taylor. DP13595 The Total Risk Premium Puzzle. 2019. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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