全球智库信息集成服务系统(G2TT): Searching for the Equity Premium

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w28001
来源ID	Working Paper 28001
	Searching for the Equity Premium
	Hang Bai; Lu Zhang
发表日期	2020-10-26
出版年	2020
语种	英语
摘要	Labor market frictions are crucial for the equity premium in production economies. A dynamic stochastic general equilibrium model with recursive utility, search frictions, and capital accumulation yields a high equity premium of 4.26% per annum, a stock market volatility of 11.8%, and a low average interest rate of 1.59%, while simultaneously retaining plausible business cycle dynamics. The equity premium and stock market volatility are strongly countercyclical, while the interest rate and consumption growth are largely unpredictable. Because of wage inertia, dividends are procyclical despite consumption smoothing via capital investment. The welfare cost of business cycles is huge, 29%.
主题	Macroeconomics ; Business Cycles ; Money and Interest Rates ; Financial Economics ; Portfolio Selection and Asset Pricing
URL	https://www.nber.org/papers/w28001
来源智库	National Bureau of Economic Research (United States)
引用统计
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/585674
推荐引用方式 GB/T 7714	Hang Bai,Lu Zhang. Searching for the Equity Premium. 2020.