Parameter Learning in General Equilibrium: The Asset Pricing Implications

• 成果类型: Article
• 署名作者: Collin-Dufresne, Pierre; Johannes, Michael; Lochstoer, Lars A.
• 署名单位: Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne; Swiss Finance Institute (SFI); Centre for Economic Policy Research - UK; Columbia University
• 刊物名称: AMERICAN ECONOMIC REVIEW
• ISSN/ISSBN: 0002-8282
• DOI: 10.1257/aer.20130392
• 发表日期: 2016
• 页码: 664-698
• 关键词: long-run; intertemporal substitution; equity premium; subjective expectations; rational-expectations; market participation; temporal resolution; information quality; rare disasters; risk-aversion

摘要

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.