The Knightian uncertainty and the risk premium and the risk free rate puzzles in Japan and the U.S.

Research output: Contribution to journalArticle

3 Citations (Scopus)

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 languageEnglish
Pages (from-to)386-393
Number of pages8
JournalEconomics Letters
Volume95
Issue number3
DOIs
Publication statusPublished - 2007 Jun

Fingerprint

Japan
Risk premium
Risk-free rate puzzle
Knightian uncertainty
Risk aversion
Time preference

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 journalArticle

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