全球智库信息集成服务系统(G2TT): DP2959 The Observational Equivalence of Taylor Rule and Taylor-Type Rules

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来源类型	Discussion paper
规范类型	论文
来源ID	DP2959
	DP2959 The Observational Equivalence of Taylor Rule and Taylor-Type Rules
	Patrick Minford; Naveen Srinivasan; Francesco Perugini
发表日期	2001-09-29
出版年	2001
语种	英语
摘要	This Paper reinterprets standard axioms in choice theory to introduce the concepts of ?belief dependent? utility functions and aversion to ?state-uncertainty?. It shows that this type of preference helps to explain the various stylized facts of asset returns, including a high equity risk premium, a low risk-free rate, a high return volatility, stock return predictability and volatility clustering. In one particular specification consistent with habit formation preferences, I also argue that ?aversion to state-uncertainty? gives rise to ?aversion to long-run risk?, that is, to the uncertainty surrounding the long-run average of future consumption. In order to solve for asset prices and returns under general conditions about the hidden state variable, the Paper also develops a discretization methodology to obtain approximate analytical solutions. In a parsimonious parametrization, I then show that the model calibrated to real consumption generates unconditional moments for asset returns that closely match the empirical ones. Finally, due to the estimated time-variation in the dispersion of the conditional distribution on the drift rate of consumption, the model also generates a time series of conditional return volatility in line with the ex-post integrated volatility of stock returns.
主题	Financial Economics
关键词	State dependent prefereneces Uncertainty aversion Asset pricing
URL	https://cepr.org/publications/dp2959
来源智库	Centre for Economic Policy Research (United Kingdom)
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/532005
推荐引用方式 GB/T 7714	Patrick Minford,Naveen Srinivasan,Francesco Perugini. DP2959 The Observational Equivalence of Taylor Rule and Taylor-Type Rules. 2001.