| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w25781 |
| 来源ID | Working Paper 25781 |
| Macroeconomic Uncertainty Prices when Beliefs are Tenuous | |
| Lars Peter Hansen; Thomas J. Sargent | |
| 发表日期 | 2019-04-29 |
| 出版年 | 2019 |
| 语种 | 英语 |
| 摘要 | A representative investor does not know which member of a set of well-defined parametric "structured models'' is best. The investor also suspects that all of the structured models are misspecified. These uncertainties about probability distributions of risks give rise to components of equilibrium prices that differ from the risk prices widely used in asset pricing theory. A quantitative example highlights a representative investor's uncertainties about the size and persistence of macroeconomic growth rates. Our model of preferences under ambiguity puts nonlinearities into marginal valuations that induce time variations in market prices of uncertainty. These arise because the representative investor especially fears high persistence of low growth rate states and low persistence of high growth rate states. |
| 主题 | Econometrics ; Estimation Methods ; Microeconomics ; Economics of Information ; Macroeconomics ; Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w25781 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/583454 |
| 推荐引用方式 GB/T 7714 | Lars Peter Hansen,Thomas J. Sargent. Macroeconomic Uncertainty Prices when Beliefs are Tenuous. 2019. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w25781.pdf（698KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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