Parameter Learning in General Equilibrium : The Asset Pricing Implications

Parameter learning strongly amplifies 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, the variance of shocks, rare events, or model selection. Overall, parameter learning generates long-lasting, quantitatively significant additional macro risks that help explain standard asset pricing puzzles

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Year of publication:	2013
Authors:	Collin-Dufresne, Pierre
Other Persons:	Johannes, Michael (contributor) ; Lochstoer, Lars A. (contributor)
Publisher:	[2013]: [S.l.] : SSRN
Subject:	Allgemeines Gleichgewicht \| General equilibrium \| Lernprozess \| Learning process \| Kapitalmarkttheorie \| Financial economics \| Entscheidung unter Unsicherheit \| Decision under uncertainty \| Mathematische Optimierung \| Mathematical programming

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