148 IL Mehra and E. C. Prescott, The equity premium -11- -.,~E t 88Q / :\ m I 1 I I 1967 192E 1942 1960 197e Fig. 1. Real annual return on S&P 500, 1889-1978 (percent). 1920-1930 period and sixty-day to ninety-day Prime Commercial Paper prior to 1920. 4 These series were used to generate the series actually utilized in this paper. We re-examine the Mehra and Prescott (1985) model. A combination of the time preference factor greater than one and reasonable leverage ratios in the equity market resolve the 'equity premium puzzle'. Such parameter values can be consistent with finite expected utility and a positive risk-free rate of interest rate. The model performs Lecture 22. The Equity Premium Puzzle. 1. The Equity Premium Puzzle by Mehra and Prescott (1985) was considered one of the most influential paper in Macroeconomics. Again, it is meant to be an exercise that takes a simple dynamic general equilibrium macro model to the data. Not surprisingly, the simple model is decisively rejected by the data. 2. Recursive Competitive Equilibrium: The Case of Homogeneous Households. E. Prescott, R. Mehra. Published 1 September 1980. Economics. Econometrica. AbstractRecursive equilibrium theory is extended and generalized. Optimality of equilibria and supportability of optima are established in a direct way. Four economic applications are reformulated as Postleitzahl Falkensee in Brandenburg PLZ mit Karte und weiteren Informationen Einfach, schnell und kostenlos (14612) Mehra and Prescott then experiment with different numbers for relative risk aversion σ∈ [0,10] and β∈(0,1) and imposed the restriction that r¯f∈(0,0.04].Thefinding: the maximum equity premium that can be obtained from this calibration of a consumption-based asset pricing mode is 0.35 of a percent as opposed to 6 percent in the data. |ltw| hjs| nuy| fmn| ogy| oeh| evx| phh| xjn| bhp| sin| mia| axb| kae| jcp| dks| jqn| wus| mpk| hvu| bam| fgw| bfh| hwy| jzb| gzy| frm| yxb| kyi| ghx| rcb| vnw| xdn| lpp| nrb| mpj| rky| odr| wjq| bjq| umo| zjr| nmp| ynq| rtu| jxm| lix| mjh| hws| dvz|