| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP6529 |
| 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 |
| URL | https://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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