Searching for the equity premium db2.tmp srctitleChangeRecord1-20220420.115456.log srctitleChangeRecord2-20220420.120439.log srctitle_new2.ksh srctitle_new3.ksh WOSType1.TXT WOSType2.TXT

• 成果类型: Article
• 署名作者: Bai, Hang; Zhang, Lu
• 署名单位: University of Connecticut; University System of Ohio; Ohio State University; National Bureau of Economic Research
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2021.05.024
• 发表日期: 2022
• 页码: 897-926
• 关键词: The equity premium puzzle; Macro finance; DSGE; search frictions; Wage inertia

摘要

A dynamic stochastic general equilibrium model with recursive utility, search frictions, and capital accumulation is a good start to forming a unified theory of asset prices and business cycles. The model reproduces an equity premium of 4.27% per annum, a stock market volatility of 12.42%, and an average interest rate of 1.97%, while retaining plausible business cycle dynamics. The equity premium and stock market volatility are strongly countercyclical, whereas the interest rate and consumption growth are largely unpredictable. Because of wage inertia, dividends are procyclical despite consumption smoothing via investment. The welfare cost of business cycles is huge, 33.6%.