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Parameter Learning in General Equilibrium: The Asset Pricing Implications / Pierre Collin-Dufresne, Michael Johannes, Lars A. Lochstoer.
- Format:
- Book
- Author/Creator:
- Collin-Dufresne, Pierre.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w19705.
- NBER working paper series no. w19705
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Other Title:
- Parameter Learning in General Equilibrium
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2013.
- Summary:
- 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.
- Notes:
- Print version record
- December 2013.
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