Di Tella, Sebastian. <br/><br/>
The Zero-Beta Interest Rate / 
Sebastian Di Tella, Benjamin M. Hébert, Pablo Kurlat, Qitong Wang. 
 - Cambridge, Mass.  National Bureau of Economic Research  2023. 
 - 1 online resource:  illustrations (black and white); 
 - NBER working paper series  no. w31596 .
 - Working Paper Series (National Bureau of Economic Research)  no. w31596. .
<br/><br/> August 2023. 
<br/><br/> We use equity returns to construct a time-varying measure of the interest rate that we call the zero-beta rate: the expected return of a stock portfolio orthogonal to the stochastic discount factor. The zero-beta rate is high and volatile. In contrast to safe rates, the zero-beta rate fits the aggregate consumption Euler equation remarkably well, both unconditionally and conditional on monetary shocks, and can explain the level and volatility of asset prices. We claim that the zero-beta rate is the correct intertemporal price. 
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<br/><br/><label>Subjects--Topical Terms: </label><br/>General<br/>Money and Interest Rates<br/>Asset Pricing &bull; Trading Volume &bull; Bond Interest Rates