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来源类型Working Paper
规范类型报告
DOI10.3386/w19705
来源IDWorking Paper 19705
Parameter Learning in General Equilibrium: The Asset Pricing Implications
Pierre Collin-Dufresne; Michael Johannes; Lars A. Lochstoer
发表日期2013-12-05
出版年2013
语种英语
摘要Parameter learning strongly amplifies the impact of macro shocks on marginal utility when the representative agent has a preference for early resolution of uncertainty. This occurs as rational belief updating generates subjective long-run consumption risks. We consider general equilibrium models with unknown parameters governing either long-run economic growth, the variance of shocks, rare events, or model selection. Overall, parameter learning generates long-lasting, quantitatively significant additional macro risks that help explain standard asset pricing puzzles.
主题Financial Economics ; Financial Markets ; Portfolio Selection and Asset Pricing
URLhttps://www.nber.org/papers/w19705
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/577380
推荐引用方式
GB/T 7714
Pierre Collin-Dufresne,Michael Johannes,Lars A. Lochstoer. Parameter Learning in General Equilibrium: The Asset Pricing Implications. 2013.
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