| 来源类型 | Discussion paper
|
| 规范类型 | 论文
|
| 来源ID | DP5041
|
| DP5041 Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach |
| Tan Wang; Lorenzo Garlappi
|
| 发表日期 | 2005-05-23
|
| 出版年 | 2005
|
| 语种 | 英语
|
| 摘要 | This paper studies the consumption decisions of agents who face costs of acquiring, absorbing and processing information. These consumers rationally choose to only sporadically update their information and re-compute their optimal consumption plans. In between updating dates, they remain inattentive. This behaviour implies that news disperses slowly throughout the population, so events have a gradual and delayed effect on aggregate consumption. The model predicts that aggregate consumption adjusts slowly to shocks, and is able to explain the excess sensitivity and excess smoothness puzzles. In addition, individual consumption is sensitive to ordinary and unexpected past news, but it is not sensitive to extraordinary or predictable events. The model further predicts that some people rationally choose to not plan, live hand-to-mouth, and save less, while other people sporadically update their plans. The longer are these plans, the more they save. Evidence using US aggregate and microeconomic data generally supports these predictions. |
| 主题 | International Macroeconomics
|
| 关键词 | Inattentiveness
Bounded rationality
Consumption
Excess sensitivity
Excess smoothness
Hand-to-mouth consumers
|
| URL | https://cepr.org/publications/dp5041
|
| 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/533938
|
推荐引用方式
GB/T 7714 |
Tan Wang,Lorenzo Garlappi. DP5041 Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach. 2005.
|
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