| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w19705 |
| 来源ID | Working 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 |
| URL | https://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. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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