Long-Run Risk Is the Worst-Case Scenario

被引：25
|
作者：
Bidder, Rhys [1 ]
Dew-Becker, Ian [2 ]
机构：
[1] Fed Reserve Bank San Francisco, 101 Market St, San Francisco, CA 94105 USA
[2] Northwestern Univ, 2001 Sheridan Rd, Evanston, IL 60208 USA
来源：
AMERICAN ECONOMIC REVIEW | 2016年 / 106卷 / 09期
关键词：
DISTRIBUTED LAG ESTIMATION; RECURSIVE MULTIPLE-PRIORS; EQUITY PREMIUM; ASSET PRICES; GENERAL EQUILIBRIUM; AMBIGUITY AVERSION; RETURNS; MODEL; UTILITY; SUBSTITUTION;
D O I：
10.1257/aer.20150585
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
We study an investor who is unsure of the dynamics of the economy. Not only are parameters unknown, but the investor does not even know what order model to estimate. She estimates her consumption process nonparametrically-allowing potentially - infinite-order dynamics-and prices assets using a pessimistic model that minimizes lifetime utility subject to a constraint on statistical plausibility. The equilibrium is exactly solvable and the pricing model always includes long-run risks. With risk aversion of 4.7, the model matches major facts about asset prices, consumption, and dividends. The paper provides a novel link between ambiguity aversion and - nonparametric estimation.
引用
收藏
页码：2494 / 2527
页数：34
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