| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w28284 |
| 来源ID | Working Paper 28284 |
| Self-Fulfilling Risk Panics: An Expected Utility Framework | |
| Jess Benhabib; Xuewen Liu; Pengfei Wang | |
| 发表日期 | 2020-12-28 |
| 出版年 | 2020 |
| 语种 | 英语 |
| 摘要 | Even if an asset has no fundamental uncertainty with a constant dividend process, a stochastic sentiment-driven equilibrium for the asset price exists besides the well-known fundamental equilibrium. Our paper constructs such sentiment-driven equilibria under general utility functions within an OLG structure. Our paper further shows that the existence of sentiment-driven equilibria is robust in a standard infinite-period model as long as the pricing kernel is affected by the asset price. |
| 主题 | Macroeconomics ; Money and Interest Rates ; Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w28284 |
| 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/585956 |
| 推荐引用方式 GB/T 7714 | Jess Benhabib,Xuewen Liu,Pengfei Wang. Self-Fulfilling Risk Panics: An Expected Utility Framework. 2020. |
| 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 | ||
| w28284.pdf（314KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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