The risk premium puzzle is worse than you think. Using a new database for the U.S. and 15 other advancedeconomies from 1870 to the present that includes housing as well as equity returns (to capture thefull risky capital portfolio of the representative agent), standard calculations using returns to total wealthand consumption show that: housing returns […]

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Central banks increasingly rely on macroprudential measures to manage the financial cycle. However, the effects of such policies on the core objectives of monetary policy to stabilise output and inflation are largely unknown. In this paper we quantify the effects of changes in maximum loan-to-value (LTV) ratios on output and inflation. We rely on a […]

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This paper introduces a new long-run dataset based on archival data from historical waves of the Survey of Consumer Finances. The household-level data allow us to study the joint distributions of household income and wealth since 1949. We expose the central importance of portfolio composition and asset prices for wealth dynamics in postwar America. Asset […]

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with Óscar Jordá, Katharina Knoll, Dmitry Kuvshinov and Alan M. Taylor. 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 […]

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with Benjamin Born, Gernot Müller, Moritz Schularick and Petr Sedlacek. This paper introduces a data-driven, transparent and unbiased method to calculate the economic costs of the Brexit vote in June 2016. We let a matching algorithm determine a combination of comparison economies that best resembles the growth path of the UK economy before the Brexit […]

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with Moritz Kuhn and Ulrike Steins. This paper studies the distribution of U.S. household income and wealth over the past seven decades. We introduce a newly compiled household-level dataset based on archival data from historical waves of the Survey of Consumer Finances (SCF). Complementing recent work on top income and wealth shares, the long-run survey […]

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with Òscar Jordà, Björn Richter and Alan M. Taylor. Higher capital ratios are unlikely to prevent a financial crisis. This is empirically true both for the entire history of advanced economies between 1870 and 2013 and for the post-WW2 period, and holds both within and between countries. We reach this startling conclusion using newly collected […]

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