Research

The Equity Premium: A Deeper Puzzle
Abstract
Traditional pre-1929 consumption measures understate the extent of serial correlation in the U.S. annual real growth rate of per capita consumption of non-durables and services due to measurement limitations in the construction of their major components. Under alternative measures proposed in this study, the serial correlation of consumption growth is 0.42 for the 1899 - 2012, contrary to the estimate of -0.15 under the traditional measures. This new evidence implies that the class of economies studied by Mehra and Prescott (1985) generates negative equity premium for reasonable risk aversion levels. Thus further exacerbating the equity premium puzzle.
[PAPER] [CODE-DATA] [TECHNICAL-TABLES]

Asset Pricing in an Exchange Economy with Bayesian Agents
Abstract
This paper extends the standard Mehra-Prescott one-good, pure exchange economy to the case where agents are assumed to be in ignorance of the true transition probabilities of the growth rate of output and to learn them using bayes rule. The main conclusion is that the proposed bayes model yields asset prices and equity premium that are nearly identical to the one in the standard model when the expected transition probabilities of the former equals the transition probabilities of the latter.
[PDF] [CODE-DATA]

A Simulation Model for the Brazilian Public Debt
Abstract

[PDF] [CODE]