| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP14592 |
| DP14592 Generalized Robustness and Dynamic Pessimism | |
| Pascal Maenhout; Andrea Vedolin; Hao Xing | |
| 发表日期 | 2020-04-09 |
| 出版年 | 2020 |
| 语种 | 英语 |
| 摘要 | This paper develops a theory of dynamic pessimism and its impact on asset prices. Notions of time-varying pessimism arise endogenously in our setting as a consequence of agents’ concern for model misspecification. We generalize the robust control approach of Hansen and Sargent (2001) by replacing relative entropy as a measure of discrepancy between models by the more general family of Cressie-Read discrepancies. As a consequence, the decision-maker’s distorted beliefs appear as an endogenous state variable driving risk aversion, portfolio decisions, and equilibrium asset prices. Using survey data, we estimate time-varying pessimism and find that such a proxy features a strong business cycle component. We then show that using our measure of pessimism helps match salient features in equity markets such as excess volatility and high equity premium. |
| 主题 | Financial Economics |
| 关键词 | Cressie read Robust control Subjective beliefs Pessimism |
| URL | https://cepr.org/publications/dp14592 |
| 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/543500 |
| 推荐引用方式 GB/T 7714 | Pascal Maenhout,Andrea Vedolin,Hao Xing. DP14592 Generalized Robustness and Dynamic Pessimism. 2020. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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