| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w14814 |
| 来源ID | Working Paper 14814 |
| Learning and Asset-Price Jumps | |
| Ravi Bansal; Ivan Shaliastovich | |
| 发表日期 | 2009-03-25 |
| 出版年 | 2009 |
| 语种 | 英语 |
| 摘要 | We develop a general equilibrium model in which income and dividends are smooth, but asset prices are subject to large moves (jumps). A prominent feature of the model is that the optimal decision of investors to learn the unobserved state triggers large asset-price jumps. We show that the learning choice is critically determined by preference parameters and the conditional volatility of income process. An important prediction of the model is that income volatility predicts future jumps, while the variation in the level of income does not. We find that indeed in the data large moves in returns are predicted by consumption volatility, but not by the changes in the consumption level. We show that the model can quantitatively capture these novel features of the data. |
| 主题 | Macroeconomics ; Money and Interest Rates ; Financial Economics ; Financial Markets ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w14814 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/572490 |
| 推荐引用方式 GB/T 7714 | Ravi Bansal,Ivan Shaliastovich. Learning and Asset-Price Jumps. 2009. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w14814.pdf（975KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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