Revisiting the interest rate puzzle


Autoria(s): YOSHINO, Joe Akira; SANTOS, Edson Bastos e
Contribuinte(s)

UNIVERSIDADE DE SÃO PAULO

Data(s)

19/10/2012

19/10/2012

2009

Resumo

This article makes a connection between Lucas` (1978) asset pricing model and the macroeconomic dynamics for some selected countries. Both the relative risk aversion and the impatience for postponing consumption by synthesizing the investor behaviour can help to understand some key macroeconomic issues across countries, such as the savings decision and the real interest rate. I find that the government consumption makes worse the so-called `equity premium-interest rate puzzle`. The first root of the quadratic function for explaining the real interest rate can produce this puzzle, but not the second root. Thus, Mehra and Prescott (1985) identified only one possible solution.

Identificador

APPLIED ECONOMICS LETTERS, v.16, n.13, p.1333-1340, 2009

1350-4851

http://producao.usp.br/handle/BDPI/20525

10.1080/17446540802403643

http://dx.doi.org/10.1080/17446540802403643

Idioma(s)

eng

Publicador

ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD

Relação

Applied Economics Letters

Direitos

closedAccess

Copyright ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD

Palavras-Chave #EQUITY PREMIUM #Economics
Tipo

article

original article

publishedVersion