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The wedge between the return on capital and risk-free rates
[L’écart entre rendement du capital et taux sans risque]

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For several decades, the wedge between the return on capital and risk-free rates has been growing in the euro area and the United States. We examine the drivers of this wedge and find that while the risk premium is the main driver, mark-ups also play a role. More recently, the contribution from mark-ups has decreased in the euro area and increased in the United States. Depuis plusieurs décennies, l’écart entre rendement du capital et taux sans risque augmente dans la zone euro et aux États-Unis. Nous constatons que la prime de risque constitue le principal déterminant de cet écart mais que les marges jouent également un rôle. Plus récemment, la contribution des marges a diminué dans la zone euro et augmenté aux États-Unis.

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  • ., 2019. "The wedge between the return on capital and risk-free rates [L’écart entre rendement du capital et taux sans risque]," Eco Notepad (in progress) 104, Banque de France.
    • Handle: RePEc:bfr:econot:104
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    File URL: https://www.banque-france.fr/fr/publications-et-statistiques/publications/lecart-entre-rendement-du-capital-et-taux-sans-risque
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