THE RATE OF RETURN ON EVERYTHING, 1870-2015

• 成果类型: Article
• 署名作者: Jorda, Oscar; Knoll, Katharina; Kuvshinov, Dmitry; Schularick, Moritz; Taylor, Alan M.
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - San Francisco; University of California System; University of California Davis; Deutsche Bundesbank; University of Bonn; University of California System; University of California Davis; National Bureau of Economic Research; Centre for Economic Policy Research - UK
• 刊物名称: QUARTERLY JOURNAL OF ECONOMICS
• ISSN/ISSBN: 0033-5533
• DOI: 10.1093/qje/qjz012
• 发表日期: 2019
• 页码: 1225-1298
• 关键词: HOUSING FINANCE; equity premium; stock-exchange; DELISTING BIAS; Risk premium; WEALTH; prices; ratios; crises

摘要

What is the aggregate real rate of return in the economy? Is it higher than the growth rate of the economy and, if so, by how much? Is there a tendency for returns to fall in the long run? Which particular assets have the highest long-run returns? We answer these questions on the basis of a new and comprehensive data set for all major asset classes, including housing. The annual data on total returns for equity, housing, bonds, and bills cover 16 advanced economies from 1870 to 2015, and our new evidence reveals many new findings and puzzles.