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

Kenji Wada

doi:10.1016/j.econlet.2006.11.012

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

Kenji Wada

Faculty of Business and Commerce

Research output: Contribution to journal › Article › peer-review

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 language	English
Pages (from-to)	386-393
Number of pages	8
Journal	Economics Letters
Volume	95
Issue number	3
DOIs	https://doi.org/10.1016/j.econlet.2006.11.012
Publication status	Published - 2007 Jun 1

Keywords

Knightian uncertainty
Risk free rate puzzle
Risk premium puzzle

ASJC Scopus subject areas

Finance
Economics and Econometrics

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10.1016/j.econlet.2006.11.012

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

Abstract

Keywords

ASJC Scopus subject areas

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