Working Paper: NBER ID: w24112
Authors: Scar Jorda; Katharina Knoll; Dmitry Kuvshinov; Moritz Schularick; Alan M. Taylor
Abstract: What is the aggregate real rate of return in the economy? Is it higher than the growth rate of the economy and, if so, by how much? Is there a tendency for returns to fall in the long-run? Which particular assets have the highest long-run returns? We answer these questions on the basis of a new and comprehensive dataset for all major asset classes, including housing. The annual data on total returns for equity, housing, bonds, and bills cover 16 advanced economies from 1870 to 2015, and our new evidence reveals many new findings and puzzles.
Keywords: Rate of Return; Wealth Inequality; Asset Classes
JEL Codes: D31; E10; E44; G10; G12; N10
Edges that are evidenced by causal inference methods are in orange, and the rest are in light blue.
| Cause | Effect |
|---|---|
| residential real estate returns (R31) | economic performance (P17) |
| equities returns (G12) | economic performance (P17) |
| housing returns (R31) | equities returns (G12) |
| volatility of housing returns (R21) | volatility of equities returns (G17) |
| real safe asset return (G12) | government finances (H69) |
| real safe asset return (G12) | economic stability (E63) |
| risk premium (G19) | investor behavior (G41) |
| returns to wealth (r) (G19) | wealth inequality (D31) |
| economic growth (g) (E20) | wealth inequality (D31) |