| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w29915 |
| 来源ID | Working Paper 29915 |
| Modeling Uncertainty as Ambiguity: a Review | |
| Cosmin L. Ilut; Martin Schneider | |
| 发表日期 | 2022-04-11 |
| 出版年 | 2022 |
| 语种 | 英语 |
| 摘要 | We survey literature on ambiguity with an emphasis on recent applications in macroeconomics and finance. Like risk, ambiguity leads to cautious behavior and uncertainty premia in asset markets. Unlike risk, ambiguity can generate first order welfare losses. As a result, precautionary behavior and ambiguity premia obtain even when agents have linear utility and are reflected in linear approximations to model dynamics. Quantitative work exploits this insight to estimate models that jointly match the dynamics of asset prices and macro aggregates. In micro data, inertia and inaction due to ambiguity help understand patterns such as non-participation in asset markets, price rigidities and simple contracts. Learning under ambiguity generates asymmetric responses to news that help connect higher moments in micro and macro data. Survey evidence is increasingly used to provide direct evidence on ambiguity averse behavior, as well as to discipline quantitative models. |
| 主题 | Microeconomics ; Economics of Information ; Macroeconomics ; Consumption and Investment ; Business Cycles ; Money and Interest Rates ; Financial Economics ; Financial Markets |
| URL | https://www.nber.org/papers/w29915 |
| 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/587588 |
| 推荐引用方式 GB/T 7714 | Cosmin L. Ilut,Martin Schneider. Modeling Uncertainty as Ambiguity: a Review. 2022. |
| 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 | ||
| w29915.pdf（372KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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