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 |
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Pages (from-to) | 386-393 |
Number of pages | 8 |
Journal | Economics Letters |
Volume | 95 |
Issue number | 3 |
DOIs | |
Publication status | Published - 2007 Jun 1 |
Keywords
- Knightian uncertainty
- Risk free rate puzzle
- Risk premium puzzle
ASJC Scopus subject areas
- Finance
- Economics and Econometrics