DP12509 The Rate of Return on Everything, 1870-2015

Author(s): Óscar Jordá, Katharina Knoll, Dmitry Kuvshinov, Moritz Schularick, Alan M. Taylor
Publication Date: December 2017
Date Revised: May 2019
Keyword(s): capital gains, dividends, household wealth, housing markets, interest rates, rents, return on capital, risk premiums, yields
JEL(s): D31, E10, E44, G10, G12, N10
Programme Areas: Financial Economics, Economic History, International Macroeconomics and Finance, Monetary Economics and Fluctuations, Macroeconomics and Growth
Link to this Page: cepr.org/active/publications/discussion_papers/dp.php?dpno=12509

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.