Risk-free interest rate and return on risky assets

Risk-free interest rates have fallen continuously over the past ten years (we look at the situations of the United States and the euro zone). They can then be compared with returns on risky assets (we look at equities and residential real estate). A widening of the gap between the return on risky assets and risk-free interest rates can have two different causes: An increase in perception of the risk associated with holding risky assets and in the corresponding risk premia, associated with recurring crises; A financial imperfection, taking the form of insufficient arbitrage between risk-free bonds and risky assets, for example because there is financial repression (forced holding of risk-free bonds because of regulations ) . Expansionary monetary policy is highly ineffective in both cases since while it drives down risk-free interest rates, it does not drive down the cost of risk capital.