G2TT
来源类型Discussion paper
规范类型论文
来源IDDP6529
DP6529 Is Old Money Better than New? Duration and Monetary Regimes
Andrew Rose; Ilian Mihov
发表日期2007-10-19
出版年2007
语种英语
摘要Introducing bounded rationality into a standard consumption based asset pricing model with a representative agent and time separable preferences strongly improves empirical performance. Learning causes momentum and mean reversion of returns and thereby excess volatility, persistence of price-dividend ratios, long-horizon return predictability and a risk premium, as in the habit model of Campbell and Cochrane (1999), but for lower risk aversion. This is obtained, even though we restrict consideration to learning schemes that imply only small deviations from full rationality. The findings are robust to the particular learning rule used and the value chosen for the single free parameter introduced by learning, provided agents forecast future stock prices using past information on prices.
主题International Macroeconomics
关键词Asset pricing puzzles Consumption-based asset pricing Learning
URLhttps://cepr.org/publications/dp6529
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/535368
推荐引用方式
GB/T 7714
Andrew Rose,Ilian Mihov. DP6529 Is Old Money Better than New? Duration and Monetary Regimes. 2007.
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