The role of learning for asset prices and business cycles

• 成果类型: Article
• 署名作者: Winkler, Fabian
• 署名单位: Federal Reserve System - USA
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2019.03.002
• 发表日期: 2020
• 页码: 42-58
• 关键词: Learning; expectations; financial frictions; asset pricing; Survey forecasts

摘要

The implications of learning-based asset pricing are examined in a business cycle model with financial frictions. Agents learn about stock prices while firms face credit constraints that depend partly on their market value. Expectations are constrained to remain modelconsistent conditional on a subjective belief for stock prices. The combination of financial frictions and learning amplifies shocks through a two-sided feedback mechanism between asset prices and real activity. The model matches not only important asset price and business cycle moments, but also several patterns of forecast error predictability in survey data across a range of variables. Published by Elsevier B.V.