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Financial Times profiles Oscar Jorda and Alan Taylor's research on "the rate of return on everything"

Study answers classic questions about asset returns using 145 years of newly assembled data

A new study by Professors Òscar Jordà and Alan Taylor was profiled this morning in the Financial Times.

Jordà, Taylor, and their coauthors have compiled comprehensive data on real rates of returns in four major asset classes (bonds, bills, equities, and housing) for 16 advanced economies over the period 1870–2015. The new dataset—which the Times calls "the largest of its kind ever assembled"—makes possible a detailed global portrait of how different kinds of financial holdings have fared through boom, bust, war, and peace.

The new data have already shed light on a panoply of classic questions in macroeconomics, including the evolution of the risk premium, the role of capital in fueling the rise of inequality, fears that modern economies have slipped into "secular stagnation", and how unusual today's low-interest environment is by historical standards.

More findings are sure to come. As Jordà and Taylor write, "Our work thus provides researchers with the first non-commercial database of historical equity, bond, and bill returns, with the most extensive coverage across both countries and years, and the evidence drawn from our data will establish new foundations for long-run macro-financial research."

The study, entitled "The Rate of Return on Everything, 1870–2015", was released as a National Bureau of Economic Research working paper earlier this month. It is coauthored with Katharina Knoll of Deutsche Bundesbank and with Dmitry Kuvshinov and Moritz Schularick of the University of Bonn.