Risk and ambiguity in models of business cycles

• 成果类型: Article
• 署名作者: Backus, David; Ferriere, Axelle; Zin, Stanley
• 署名单位: New York University; National Bureau of Economic Research
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2014.12.005
• 发表日期: 2015
• 页码: 42-63
• 关键词: uncertainty; Smooth ambiguity; Certainty equivalent; recursive preferences; Pricing kernel; asset returns; learning

摘要

We inject aggregate uncertainty - risk and ambiguity - into an otherwise standard business cycle model and describe its consequences. We find that increases in uncertainty generally reduce consumption, but they do not account, in this model, for either the magnitude or the persistence of the most recent recession. We speculate about extensions that might do better along one or both dimensions. (C) 2014 Elsevier B.V. All rights reserved.