The Rate of Return on Everything, 1870-2015

124 Pages Posted: 19 Apr 2018

See all articles by Òscar Jordà

Òscar Jordà

Federal Reserve Banks - Federal Reserve Bank of San Francisco

Katharina Knoll

Free University of Berlin (FUB) - Division of Economics

Dmitry Kuvshinov

University of Bonn

Moritz Schularick

University of Bonn - Department of Economics; Centre for Economic Policy Research (CEPR)

Alan M. Taylor

University of California, Davis - Department of Economics; National Bureau of Economic Research (NBER); Centre for Economic Policy Research (CEPR)

Multiple version iconThere are 3 versions of this paper

Date Written: February 21, 2018

Abstract

This paper answers fundamental questions that have preoccupied modern economic thought since the 18th century. 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 — for the first time — total returns to the largest, but oft ignored, component of household wealth, 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 insights and puzzles.

Keywords: return on capital, interest rates, yields, dividends, rents, capital gains, risk premiums, household wealth, housing markets

JEL Classification: D310, E440, E100, G100, G120, N100

Suggested Citation

Jordà, Òscar and Knoll, Katharina and Kuvshinov, Dmitry and Schularick, Moritz and Taylor, Alan M., The Rate of Return on Everything, 1870-2015 (February 21, 2018). CESifo Working Paper Series No. 6899. Available at SSRN: https://ssrn.com/abstract=3164778

Òscar Jordà

Federal Reserve Banks - Federal Reserve Bank of San Francisco ( email )

Katharina Knoll

Free University of Berlin (FUB) - Division of Economics ( email )

Boltzmannstr. 20
Berlin 14195, 14195
GERMANY

Dmitry Kuvshinov

University of Bonn ( email )

Regina-Pacis-Weg 3
Postfach 2220
Bonn
Germany

Moritz Schularick (Contact Author)

University of Bonn - Department of Economics ( email )

Bonn
Germany

Centre for Economic Policy Research (CEPR)

London
United Kingdom

Alan M. Taylor

University of California, Davis - Department of Economics ( email )

One Shields Drive
Davis, CA 95616-8578
United States
530-752-1572 (Phone)
530-752-9382 (Fax)

HOME PAGE: http://www.econ.ucdavis.edu/faculty/amtaylor/

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

HOME PAGE: http://nber.org

Centre for Economic Policy Research (CEPR)

London
United Kingdom

HOME PAGE: http://cepr.org

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