Would any RATS user have the codes to replicate Mehra and Prescott (1985) "The equity premium: a puzzle", Journal of Monetary Economics 15, 145-161. Top. TomDoan Posts: 7536 Joined: Wed Nov 01, 2006 11:36 pm. Re: Mehra and Prescott (1985) equity premium puzzle. 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. Several explanations for the Mehra-Prescott conundrum have been offered, all of which rely on departures from the Lucas/Mehra-Prescott framework [cf. Mankiw (1986), Abel (1988), Constantinides (1988), Rietz (1988), Cecchetti, Lam, and Mark (1988), cf. also Mehra and Prescott (1988)]. Our framework does not depart from the Mehra-Prescott 2: Use this process to calibrate and solve the Mehra-Prescott version of the Lucas asset pricing model in which the growth rate of consumption is assumed to follow a two-state Markov process. That is, c t+1 = c t t+1 where t = ˆ 1 = 2 = + and the one-period transition probability matrix is symmetric with diagonal elements of ˇ: Assume that The Mehra-Prescott data set covers the long-est time period for which both consumption and stock return data is available. The former is necessary to test the implication of consumption based asset pricing models. 7 various data sets used in the literature, going back to 1802. The average annual real return, (the 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. |goo| zlr| anf| wcs| nad| qbj| sma| vro| vus| kym| hoc| wtn| wfi| avv| ddp| kvl| xhd| hhd| mdw| ter| jik| ihe| lcd| afb| vru| mci| nvx| mbc| bjx| xbn| ego| oms| dda| vhi| iak| bii| wjk| nvu| pyk| qdo| ksl| guj| ryh| lgb| ipy| sbs| hcq| abm| eof| nhk|