scholarly journals Parameter Learning in General Equilibrium: The Asset Pricing Implications

2012 ◽  
Author(s):  
Pierre Collin-Dufresne ◽  
Michael Johannes ◽  
Lars A. Lochstoer
Keyword(s):  
Asset Pricing ◽  
General Equilibrium ◽  
Parameter Learning

scholarly journals Parameter Learning in General Equilibrium: The Asset Pricing Implications

2013 ◽  
Author(s):  
Pierre Collin-Dufresne ◽  
Michael Johannes ◽  
Lars Lochstoer
Keyword(s):  
Asset Pricing ◽  
General Equilibrium ◽  
Parameter Learning

scholarly journals Parameter Learning in General Equilibrium: The Asset Pricing Implications

2016 ◽  
Vol 106 (3) ◽  
pp. 664-698 ◽  
Author(s):  
Pierre Collin-Dufresne ◽  
Michael Johannes ◽  
Lars A. Lochstoer
Keyword(s):  
Asset Pricing ◽  
General Equilibrium ◽  
Marginal Utility ◽  
Parameter Learning ◽  
Unknown Parameters ◽  
Macroeconomic Shocks ◽  
Long Run ◽  
Asset Pricing Puzzles ◽  
The Impact ◽  
Macroeconomic Risks

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. (JEL C52, D83, E13, E32, G12)

ASSET PRICING IN DYNAMIC STOCHASTIC GENERAL EQUILIBRIUM MODELS WITH INDETERMINACY

2007 ◽  
Vol 12 (1) ◽  
pp. 50-71 ◽  
Author(s):  
NATALIA GERSHUN ◽  
SHARON G. HARRISON
Keyword(s):  
Asset Pricing ◽  
General Equilibrium ◽  
Returns To Scale ◽  
Dynamic Stochastic General Equilibrium ◽  
Increasing Returns ◽  
Dsge Model ◽  
Increasing Returns To Scale ◽  
Local Indeterminacy ◽  
Dynamic Stochastic ◽  
The One

We explore asset pricing in the context of the one-sector Benhabib-Farmer-Guo (BFG) model with increasing returns to scale in production and compare our results with financial implications of the standard dynamic stochastic general equilibrium (DSGE) model. Our main goal is to determine the effects of local indeterminacy and the presence of sunspot shocks on asset pricing. We find that the BFG model does not adequately represent key stylized facts of U.S. capital markets and does not improve on the asset-pricing results obtained in the standard DSGE model.

scholarly journals Coarse Competitive Equilibrium and Extreme Prices

2017 ◽  
Vol 107 (1) ◽  
pp. 109-137 ◽  
Author(s):  
Faruk Gul ◽  
Wolfgang Pesendorfer ◽  
Tomasz Strzalecki
Keyword(s):  
Asset Pricing ◽  
General Equilibrium ◽  
Cognitive Ability ◽  
Competitive Equilibrium ◽  
Equilibrium Analysis ◽  
Limited Attention ◽  
General Equilibrium Analysis ◽  
Attention Memory

We introduce a notion of coarse competitive equilibrium, to study agents’ inability to tailor their consumption to prices. Our goal is to incorporate limited cognitive ability (in particular limited attention, memory, and complexity) into the analysis of competitive equilibrium. Compared to standard competitive equilibrium, our concept yields more extreme prices and, when all agents have the same endowment, riskier allocations. We provide a tractable model suitable for general equilibrium analysis as well as asset pricing. (JEL D11, D51, D91, G10)

Sign in / Sign up

Export Citation Format

Share Document