Equity Premium Puzzle, Riskfree Rate Puzzle, and the Non-Expected Utility Model

本文應用Epstein and Zin?1989?一般均衡的非預期效用模型，分析資產風險溢酬與無風險利率之謎。文中展示資產的風險溢酬與無風險利率，在一般的狀況下，兩者都是由經濟體的所有外部資料決定。文中亦證明Weil?1989?的理論結果是得自於一特殊的狀況，在此一特殊狀況下，債券市場與股票市場互相影響的作用消失，這種現象與部份均衡的結果巧合。This paper analyzes the equity premium puzzle and the riskfree rate puzzle within a general dynamic setting endowed with Epstein and Zin's [1989] preference specification. We demonstrate that both the equity premium and the riskfree rate are determined by all the exogenous data of the economy. We also show that Weil's [1989] theoretical result is derived from a special case. In this special case, the interaction effect between the debt market and the stock market disappears, leading to a result that coincides a partial equilibrium.