THE EQUITY PREMIUM AND THE RISK-FREE RATE - MATCHING THE MOMENTS
成果类型：
Article
署名作者：
CECCHETTI, SG; LAM, PS; MARK, NC
署名单位：
National Bureau of Economic Research
刊物名称：
JOURNAL OF MONETARY ECONOMICS
ISSN/ISSBN：
0304-3932
DOI：
10.1016/0304-3932(93)90015-8
发表日期：
1993
页码：
21-45
关键词：
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.
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