Abstract
This paper proposes a new measure for Knightian uncertainty under Markovian economy and solves the risk premium and the risk free rate puzzle under Knightian uncertainty in Japan and the U.S. with plausible values for time preference and risk aversion parameters.
| Original language | English |
|---|---|
| Pages (from-to) | 386-393 |
| Number of pages | 8 |
| Journal | Economics Letters |
| Volume | 95 |
| Issue number | 3 |
| DOIs | |
| Publication status | Published - 2007 Jun |
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Keywords
- Knightian uncertainty
- Risk free rate puzzle
- Risk premium puzzle
ASJC Scopus subject areas
- Economics and Econometrics
- Finance
Cite this
The Knightian uncertainty and the risk premium and the risk free rate puzzles in Japan and the U.S. / Wada, Kenji.
In: Economics Letters, Vol. 95, No. 3, 06.2007, p. 386-393.Research output: Contribution to journal › Article
}
TY - JOUR
T1 - The Knightian uncertainty and the risk premium and the risk free rate puzzles in Japan and the U.S.
AU - Wada, Kenji
PY - 2007/6
Y1 - 2007/6
N2 - This paper proposes a new measure for Knightian uncertainty under Markovian economy and solves the risk premium and the risk free rate puzzle under Knightian uncertainty in Japan and the U.S. with plausible values for time preference and risk aversion parameters.
AB - This paper proposes a new measure for Knightian uncertainty under Markovian economy and solves the risk premium and the risk free rate puzzle under Knightian uncertainty in Japan and the U.S. with plausible values for time preference and risk aversion parameters.
KW - Knightian uncertainty
KW - Risk free rate puzzle
KW - Risk premium puzzle
UR - http://www.scopus.com/inward/record.url?scp=34248599032&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=34248599032&partnerID=8YFLogxK
U2 - 10.1016/j.econlet.2006.11.012
DO - 10.1016/j.econlet.2006.11.012
M3 - Article
AN - SCOPUS:34248599032
VL - 95
SP - 386
EP - 393
JO - Economics Letters
JF - Economics Letters
SN - 0165-1765
IS - 3
ER -