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Parameter Learning in General Equilibrium: The Asset Pricing Implications
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DOI：10.1257/aer.20130392.png)
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摘要
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Parameter learning strongly amplifies the impact of macroeconomic 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, rare events, or model selection. Overall, parameter learning generates long-lasting, quantitatively significant additional macroeconomic risks that help explain standard asset pricing puzzles.
Keyword:
LONG-RUN
INTERTEMPORAL SUBSTITUTION
EQUITY PREMIUM
SUBJECTIVE EXPECTATIONS
RATIONAL-EXPECTATIONS
MARKET PARTICIPATION
TEMPORAL RESOLUTION
INFORMATION QUALITY
RARE DISASTERS
RISK-AVERSION
期刊
IF:
11.6
论文数:
5.0K
被引数:
7.5W
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