Parameter Learning in General Equilibrium : The Asset Pricing Implications

@inproceedings{CollinDufresne2012ParameterLI,
  title={Parameter Learning in General Equilibrium : The Asset Pricing Implications},
  author={Pierre Collin-Dufresne and Lars Lochstoer},
  year={2012}
}
Parameter learning strongly ampli…es 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, rare events, or model selection. Overall, parameter learning generates long-lasting, quantitatively signi…cant additional macro risks… CONTINUE READING
Highly Cited
This paper has 27 citations. REVIEW CITATIONS
19 Citations
107 References
Similar Papers

References

Publications referenced by this paper.
Showing 1-10 of 107 references

“Risks for the long run: estimation with time aggregation.”Wharton working paper

  • Bansal, Ravi, Dana Kiku, Amir Yaron
  • 2013
Highly Influential
4 Excerpts

Doubts or Variability ? "

  • R. Barro
  • Journal of Economic Theory
  • 2006
Highly Influential
5 Excerpts

Note on the Correlation of First Differences of Averages in a Random Chain

  • H. Working
  • 1960
Highly Influential
1 Excerpt

“Investor Information, Long-Run Risk and the Term Structure of Equity.”Review of Financial Studies

  • Croce, Massimiliano, Martin Lettau, Sydney Ludvigson
  • 2014

“Asset Pricing with Unknown Consumption and Financial Risk.”working paper, University of Houston

  • Gvozdeva, Evgenia, Praveen Kumar
  • 2012

“Young, Old, Conservative and Bold. The implication of …nite lives and heterogeneity for asset pricing.”

  • Garleanu, Nicolae, Stavros Panageas
  • UC Berkeley and Chicago Booth working paper
  • 2012

Explaining asset pricing puzzles associated with the 1987 market crash

  • O. Boguth, L. Kuehn
  • Journal of Financial Economics
  • 2011

Similar Papers

Loading similar papers…