THE EQUITY PREMIUM AND THE RISK-FREE RATE - MATCHING THE MOMENTS

被引：96

作者：

CECCHETTI, SG ^{[1
]}

LAM, PS ^{[1
]}

MARK, NC ^{[1
]}

机构：

[1] NATL BUR ECON RES,CAMBRIDGE,MA 02138

来源：

JOURNAL OF MONETARY ECONOMICS | 1993年 / 31卷 / 01期

基金：

美国国家科学基金会;

关键词：

D O I：

10.1016/0304-3932(93)90015-8

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We investigate the ability of a representative agent model with time-separable utility to explain the first and second moments of the risk-free rate and the return to equity. We generalize the standard calibration methodology by accounting for the uncertainty in both the sample moments to be explained and the estimated parameters to which the model is calibrated. We find that the first moments of the data can be matched for a wide range of preference parameter values but the model is unable to generate both first and second moments of returns that are statistically close to those in the sample.

引用

页码：21 / 45

页数：25

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