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Beliefs, Doubts and Learning: Valuing Macroeconomic Risk

In: UNCERTAINTY WITHIN ECONOMIC MODELS

Citations

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Cited by:

  1. Hansen, Lars Peter & Sargent, Thomas J., 2022. "Structured ambiguity and model misspecification," Journal of Economic Theory, Elsevier, vol. 199(C).
  2. Fabrice Collard & Sujoy Mukerji & Kevin Sheppard & Jean‐Marc Tallon, 2018. "Ambiguity and the historical equity premium," Quantitative Economics, Econometric Society, vol. 9(2), pages 945-993, July.
  3. Qi Nan Zhai, 2015. "Asset Pricing Under Ambiguity and Heterogeneity," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 16, July-Dece.
  4. Stefan Nagel & Zhengyang Xu, 2022. "Asset Pricing with Fading Memory," The Review of Financial Studies, Society for Financial Studies, vol. 35(5), pages 2190-2245.
  5. Stefano d¡¦Addona, 2018. "Rational Ignorance in Long-run Risk Models," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 17(1), pages 43-54, June.
  6. Larry G. Epstein & Martin Schneider, 2010. "Ambiguity and Asset Markets," Annual Review of Financial Economics, Annual Reviews, vol. 2(1), pages 315-346, December.
  7. Epstein Larry G & Seo Kyoungwon, 2011. "Symmetry or Dynamic Consistency?," The B.E. Journal of Theoretical Economics, De Gruyter, vol. 11(1), pages 1-14, June.
  8. Julian Kozlowski & Laura Veldkamp & Venky Venkateswaran, 2020. "The Tail That Wags the Economy: Beliefs and Persistent Stagnation," Journal of Political Economy, University of Chicago Press, vol. 128(8), pages 2839-2879.
  9. Luca Benzoni & Pierre Collin-Dufresne & Robert S. Goldstein & Jean Helwege, 2015. "Modeling Credit Contagion via the Updating of Fragile Beliefs," The Review of Financial Studies, Society for Financial Studies, vol. 28(7), pages 1960-2008.
  10. Borovička, Jaroslav & Hansen, Lars Peter, 2014. "Examining macroeconomic models through the lens of asset pricing," Journal of Econometrics, Elsevier, vol. 183(1), pages 67-90.
  11. Timothy Cogley & ThomasJ. Sargent, 2009. "Diverse Beliefs, Survival and the Market Price of Risk," Economic Journal, Royal Economic Society, vol. 119(536), pages 354-376, March.
  12. Aurelien Baillon & Olivier L'Haridon & Laetitia Placido, 2011. "Ambiguity Models and the Machina Paradoxes," American Economic Review, American Economic Association, vol. 101(4), pages 1547-1560, June.
  13. Jerry Tsai & Jessica A. Wachter, 2015. "Disaster Risk and its Implications for Asset Pricing," NBER Working Papers 20926, National Bureau of Economic Research, Inc.
  14. Larry G. Epstein & Emmanuel Farhi & Tomasz Strzalecki, 2014. "How Much Would You Pay to Resolve Long-Run Risk?," American Economic Review, American Economic Association, vol. 104(9), pages 2680-2697, September.
  15. Xinlong Li & Andrew T. Ching, 2024. "How Does a Firm Adapt in a Changing World? The Case of Prosper Marketplace," Marketing Science, INFORMS, vol. 43(3), pages 673-693, May.
  16. Cosmin L. Ilut & Martin Schneider, 2022. "Modeling Uncertainty as Ambiguity: a Review," NBER Working Papers 29915, National Bureau of Economic Research, Inc.
  17. Cosmin Ilut & Rosen Valchev & Nicolas Vincent, 2020. "Paralyzed by Fear: Rigid and Discrete Pricing Under Demand Uncertainty," Econometrica, Econometric Society, vol. 88(5), pages 1899-1938, September.
  18. Lars Peter Hansen, 2013. "Challenges in Identifying and Measuring Systemic Risk," NBER Chapters, in: Risk Topography: Systemic Risk and Macro Modeling, pages 15-30, National Bureau of Economic Research, Inc.
  19. Zhengyuan Gao & Christian M. Hafner, 2019. "Looking Backward and Looking Forward," Econometrics, MDPI, vol. 7(2), pages 1-24, June.
  20. Jaroslav Borovička & Mark Hendricks & José A. Scheinkman, 2011. "Risk-Price Dynamics," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 9(1), pages 3-65, Winter.
    • Jaroslav Borovička & Lars Peter Hansen & Mark Hendricks & José A. Scheinkman, 2009. "Risk Price Dynamics," NBER Working Papers 15506, National Bureau of Economic Research, Inc.
    • Lars Peter Hansen & Jaroslav BoroviÄ ka & Mark Hendricks & José A. Scheinkman, 2010. "Risk Price Dynamics," Working Papers 2010-004, Becker Friedman Institute for Research In Economics.
    • Jaroslav Borovicka & Lars Peter Hansen & Mark Hendricks & Jose A. Scheinkman, 2009. "Risk Price Dynamics," Working Papers 1393, Princeton University, Department of Economics, Econometric Research Program..
  21. Calvet, Laurent-Emmanuel & Czellar , Veronika, 2011. "state-observation sampling and the econometrics of learning models," HEC Research Papers Series 947, HEC Paris.
  22. Hui Chen & Scott Joslin & Ngoc-Khanh Tran, 2012. "Rare Disasters and Risk Sharing with Heterogeneous Beliefs," The Review of Financial Studies, Society for Financial Studies, vol. 25(7), pages 2189-2224.
  23. Andreas Fuster & Benjamin Hebert & David Laibson, 2012. "Natural Expectations, Macroeconomic Dynamics, and Asset Pricing," NBER Macroeconomics Annual, University of Chicago Press, vol. 26(1), pages 1-48.
  24. Felipe Alves, 2022. "Job Ladder and Business Cycles," Staff Working Papers 22-14, Bank of Canada.
  25. Jihye Jeon, 2022. "Learning and investment under demand uncertainty in container shipping," RAND Journal of Economics, RAND Corporation, vol. 53(1), pages 226-259, March.
  26. Buss, Adrian & Dumas, Bernard & Uppal, Raman & Vilkov, Grigory, 2016. "The intended and unintended consequences of financial-market regulations: A general-equilibrium analysis," Journal of Monetary Economics, Elsevier, vol. 81(C), pages 25-43.
  27. Demian Pouzo & Ignacio Presno, 2012. "Sovereign default risk and uncertainty premia," Working Papers 12-11, Federal Reserve Bank of Boston.
  28. Agarwal, Vikas & Arisoy, Y. Eser & Naik, Narayan Y., 2017. "Volatility of aggregate volatility and hedge fund returns," Journal of Financial Economics, Elsevier, vol. 125(3), pages 491-510.
  29. Pierre‐André Chiappori & Bernard Salanié & François Salanié & Amit Gandhi, 2019. "From Aggregate Betting Data to Individual Risk Preferences," Econometrica, Econometric Society, vol. 87(1), pages 1-36, January.
  30. Angel Asensio, 2012. "On Keynes’s Seminal Innovation and Related Essential Features: Revisiting the Notion of Equilibrium in The General Theory," Chapters, in: Thomas Cate (ed.), Keynes’s General Theory, chapter 1, Edward Elgar Publishing.
  31. Lars Peter Hansen, 2013. "Challenges in Identifying and Measuring Systemic Risk," NBER Chapters, in: Risk Topography: Systemic Risk and Macro Modeling, pages 15-30, National Bureau of Economic Research, Inc.
  32. Frode Brevik & Stefano d'Addona, 2007. "Information processing with recursive utility: some intriguing results," University of St. Gallen Department of Economics working paper series 2007 2007-40, Department of Economics, University of St. Gallen.
  33. Potì, Valerio & Levich, Richard M. & Pattitoni, Pierpaolo & Cucurachi, Paolo, 2014. "Predictability, trading rule profitability and learning in currency markets," International Review of Financial Analysis, Elsevier, vol. 33(C), pages 117-129.
  34. Venky Venkateswaran & Laura Veldkamp & Julian Kozlowski, 2015. "The Tail that Wags the Economy: Belief-Driven Business Cycles and Persistent Stagnation," 2015 Meeting Papers 800, Society for Economic Dynamics.
  35. Andrade, Philippe & Crump, Richard K. & Eusepi, Stefano & Moench, Emanuel, 2016. "Fundamental disagreement," Journal of Monetary Economics, Elsevier, vol. 83(C), pages 106-128.
  36. Shuo Cao, 2018. "Learning about Term Structure Predictability under Uncertainty," GRU Working Paper Series GRU_2018_006, City University of Hong Kong, Department of Economics and Finance, Global Research Unit.
  37. Julian Kozlowski & Laura Veldkamp & Venky Venkateswaran, 2019. "The Tail That Keeps the Riskless Rate Low," NBER Macroeconomics Annual, University of Chicago Press, vol. 33(1), pages 253-283.
  38. Wan, Runqing & Fulop, Andras & Li, Junye, 2022. "Real-time Bayesian learning and bond return predictability," Journal of Econometrics, Elsevier, vol. 230(1), pages 114-130.
  39. Michael Johannes & Arthur Korteweg & Nicholas Polson, 2014. "Sequential Learning, Predictability, and Optimal Portfolio Returns," Journal of Finance, American Finance Association, vol. 69(2), pages 611-644, April.
  40. Calvet, Laurent E. & Czellar, Veronika, 2015. "Through the looking glass: Indirect inference via simple equilibria," Journal of Econometrics, Elsevier, vol. 185(2), pages 343-358.
  41. Lars Peter Hansen, 2008. "Modeling the Long Run: Valuation in Dynamic Stochastic Economies," NBER Working Papers 14243, National Bureau of Economic Research, Inc.
  42. Hill, Brian & Michalski, Tomasz, 2018. "Risk versus ambiguity and international security design," Journal of International Economics, Elsevier, vol. 113(C), pages 74-105.
  43. Pierre Collin-Dufresne & Robert S. Goldstein & Jean Helwege, 2010. "Is Credit Event Risk Priced? Modeling Contagion via the Updating of Beliefs," NBER Working Papers 15733, National Bureau of Economic Research, Inc.
  44. Jessica A. Wachter, 2010. "Asset Allocation," Annual Review of Financial Economics, Annual Reviews, vol. 2(1), pages 175-206, December.
  45. Raman Uppal & Harjoat Bhamra, 2016. "Do Individual Behavioral Biases Affect Financial Markets and the Macroeconomy?," 2016 Meeting Papers 1358, Society for Economic Dynamics.
  46. Eran Hanany & Peter Klibanoff & Sujoy Mukerji, 2020. "Incomplete Information Games with Ambiguity Averse Players," American Economic Journal: Microeconomics, American Economic Association, vol. 12(2), pages 135-187, May.
  47. Chen, Ji & Yang, Xinglin & Liu, Xiliang, 2022. "Learning, disagreement and inflation forecasting," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).
  48. Laura Veldkamp & Anna Orlik, 2016. "Understanding Uncertainty Shocks and the Role of the Black Swan," Working Papers 16-04, New York University, Leonard N. Stern School of Business, Department of Economics.
  49. Lex Borghans & Bart H. H. Golsteyn & James J. Heckman & Huub Meijers, 2009. "Gender Differences in Risk Aversion and Ambiguity Aversion," Journal of the European Economic Association, MIT Press, vol. 7(2-3), pages 649-658, 04-05.
  50. Pierre Collin-Dufresne & Michael Johannes & Lars A. Lochstoer, 2013. "Parameter Learning in General Equilibrium: The Asset Pricing Implications," NBER Working Papers 19705, National Bureau of Economic Research, Inc.
  51. Julian Kozlowski & Laura Veldkamp & Venky Venkateswaran, 2020. "Scarring Body and Mind: The Long-Term Belief-Scarring Effects of COVID-19," NBER Working Papers 27439, National Bureau of Economic Research, Inc.
  52. Cerreia-Vioglio, S. & Maccheroni, F. & Marinacci, M. & Montrucchio, L., 2011. "Uncertainty averse preferences," Journal of Economic Theory, Elsevier, vol. 146(4), pages 1275-1330, July.
  53. Jeong, Daehee & Kim, Hwagyun & Park, Joon Y., 2015. "Does ambiguity matter? Estimating asset pricing models with a multiple-priors recursive utility," Journal of Financial Economics, Elsevier, vol. 115(2), pages 361-382.
  54. Veldkamp, Laura & Orlik, Anna, 2014. "Understanding Uncertainty Shocks and the Role of Black Swans," CEPR Discussion Papers 10147, C.E.P.R. Discussion Papers.
  55. Lars Peter Hansen, 2021. "Uncertainty Spillovers for Markets and Policy," Annual Review of Economics, Annual Reviews, vol. 13(1), pages 371-396, August.
  56. repec:pri:metric:wp033_2012_hansen_borovicka_hendricks_scheinkman_risk%20price%20dynamics. is not listed on IDEAS
  57. Li Qin & Moïse Sidiropoulos, 2016. "Robustness of Optimal Interest Rate Rules in an Open Economy," Bulletin of Applied Economics, Risk Market Journals, vol. 3(1), pages 29-46.
  58. Hansen, Lars Peter & Sargent, Thomas J., 2021. "Macroeconomic uncertainty prices when beliefs are tenuous," Journal of Econometrics, Elsevier, vol. 223(1), pages 222-250.
  59. Pierre Collin-Dufresne & Michael Johannes & Lars A. Lochstoer, 2016. "Parameter Learning in General Equilibrium: The Asset Pricing Implications," American Economic Review, American Economic Association, vol. 106(3), pages 664-698, March.
  60. Massimo Marinacci, 2015. "Model Uncertainty," Journal of the European Economic Association, European Economic Association, vol. 13(6), pages 1022-1100, December.
  61. Harjoat S. Bhamra & Raman Uppal, 2014. "Asset Prices with Heterogeneity in Preferences and Beliefs," The Review of Financial Studies, Society for Financial Studies, vol. 27(2), pages 519-580.
  62. Qi Nan Zhai, 2015. "Asset Pricing Under Ambiguity and Heterogeneity," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1-2015, January-A.
  63. Lars Peter Hansen, 2011. "Comment on "House Price Booms and the Current Account"," NBER Chapters, in: NBER Macroeconomics Annual 2011, Volume 26, pages 132-143, National Bureau of Economic Research, Inc.
  64. Sumru Altug & Cem Cakmakli & Fabrice Collard & Sujoy Mukerji & Han Ozsoylev, 2020. "Ambiguous Business Cycles: A Quantitative Assessment," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 38, pages 220-237, October.
  65. Jianjun Miao & Bin Wei & Hao Zhou, 2019. "Ambiguity Aversion and the Variance Premium," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 9(02), pages 1-36, June.
  66. Lehmann, Bruce N., 2009. "The role of beliefs in inference for rational expectations models," Journal of Econometrics, Elsevier, vol. 150(2), pages 322-331, June.
  67. Alexander David & Pietro Veronesi, 2014. "Investors' and Central Bank's Uncertainty Embedded in Index Options," The Review of Financial Studies, Society for Financial Studies, vol. 27(6), pages 1661-1716.
  68. Borgonovo, Emanuele & Marinacci, Massimo, 2015. "Decision analysis under ambiguity," European Journal of Operational Research, Elsevier, vol. 244(3), pages 823-836.
  69. Szőke, Bálint, 2022. "Estimating robustness," Journal of Economic Theory, Elsevier, vol. 199(C).
  70. Hassan Afrouzi & Laura Veldkamp, 2019. "Biased Inflation Forecasts," 2019 Meeting Papers 894, Society for Economic Dynamics.
  71. Michael Johannes & Lars Lochstoer & Pierre Collin-Dufresne, 2015. "Parameter Learning in General Equilibrium: The Asset Pricing Implications," 2015 Meeting Papers 647, Society for Economic Dynamics.
  72. Borovička, Jaroslav & Hansen, Lars Peter, 2014. "Examining macroeconomic models through the lens of asset pricing," Journal of Econometrics, Elsevier, vol. 183(1), pages 67-90.
  73. Bin Wei, 2021. "Ambiguity, Long-Run Risks, and Asset Prices," FRB Atlanta Working Paper 2021-21, Federal Reserve Bank of Atlanta.
  74. Yulei Luo & Jun Nie & Xiaowen Wang & Eric Young, 2021. "Production and Inventory Dynamics under Ambiguity Aversion," Research Working Paper RWP 21-05, Federal Reserve Bank of Kansas City.
  75. Emi Nakamura & Dmitriy Sergeyev & Jón Steinsson, 2017. "Growth-Rate and Uncertainty Shocks in Consumption: Cross-Country Evidence," American Economic Journal: Macroeconomics, American Economic Association, vol. 9(1), pages 1-39, January.
  76. Zhongjun Qu, 2018. "A Composite Likelihood Framework for Analyzing Singular DSGE Models," The Review of Economics and Statistics, MIT Press, vol. 100(5), pages 916-932, December.
  77. Massimo Guidolin & Francesca Rinaldi, 2013. "Ambiguity in asset pricing and portfolio choice: a review of the literature," Theory and Decision, Springer, vol. 74(2), pages 183-217, February.
  78. Hansen, Lars Peter & Sargent, Thomas J., 2011. "Robustness and ambiguity in continuous time," Journal of Economic Theory, Elsevier, vol. 146(3), pages 1195-1223, May.
  79. Lars P. Hansen & Thomas J. Sargent, 2016. "Sets of Models and Prices of Uncertainty," NBER Working Papers 22000, National Bureau of Economic Research, Inc.
  80. Brian Lucey & Colm KEarney & Ciaran MacAnBhaird, 2012. "Culture and capital structure in small and medium sized firms," The Institute for International Integration Studies Discussion Paper Series iiisdp419, IIIS.
  81. Stefano Eusepi & Richard Crump & Emanuel Moench & Philippe Andrade, 2014. "Noisy Information and Fundamental Disagreement," 2014 Meeting Papers 797, Society for Economic Dynamics.
  82. Rosen Valchev & Cosmin Ilut, 2017. "Economic Agents as Imperfect Problem Solvers," 2017 Meeting Papers 1285, Society for Economic Dynamics.
  83. Stefano d¡¦Addona, 2018. "Rational Ignorance in Long-run Risk Models," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 17(1), pages 43-54, June.
  84. Patrick Schmidt, 2019. "Eliciting ambiguity with mixing bets," Papers 1902.07447, arXiv.org, revised Aug 2024.
  85. Borgonovo, Emanuele & Plischke, Elmar, 2016. "Sensitivity analysis: A review of recent advances," European Journal of Operational Research, Elsevier, vol. 248(3), pages 869-887.
  86. Nikolaos Giannellis & Stephen G. Hall & Georgios P. Kouretas & George S. Tavlas, 2024. "Forecasting in turbulent times," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(4), pages 819-826, July.
  87. Ľuboš Pástor & Robert F. Stambaugh, 2012. "Are Stocks Really Less Volatile in the Long Run?," Journal of Finance, American Finance Association, vol. 67(2), pages 431-478, April.
  88. Gong, Aibo & Ke, Shaowei & Qiu, Yawen & Shen, Rui, 2022. "Robust pricing under strategic trading," Journal of Economic Theory, Elsevier, vol. 199(C).
  89. Eric Ghysels & Jack Morgan, 2024. "On Quantum Ambiguity and Potential Exponential Computational Speed-Ups to Solving Dynamic Asset Pricing Models," Papers 2405.01479, arXiv.org, revised May 2024.
  90. Chiaki Hara & Toshiki Honda, 2022. "Implied Ambiguity: Mean-Variance Inefficiency and Pricing Errors," Management Science, INFORMS, vol. 68(6), pages 4246-4260, June.
  91. Sumru Altug & Cem Cakmakli & Fabrice Collard & Sujoy Mukerji & Han Ozsoylev, 2020. "Ambiguous Business Cycles: A Quantitative Assessment," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 38, pages 220-237, October.
  92. Alexander David & Pietro Veronesi, 2011. "Investors' and Central Bank's Uncertainty Embedded in Index Options," NBER Working Papers 16764, National Bureau of Economic Research, Inc.
  93. Laura Veldkamp & Anna Orlik, 2013. "Understanding Uncertainty Shocks," 2013 Meeting Papers 391, Society for Economic Dynamics.
  94. Okubo, Masakatsu, 2018. "On the computation of detection error probabilities under normality assumptions," Economics Letters, Elsevier, vol. 171(C), pages 106-109.
  95. Graziano Moramarco, 2022. "Measuring Global Macroeconomic Uncertainty and Cross-Country Uncertainty Spillovers," Econometrics, MDPI, vol. 11(1), pages 1-29, December.
  96. Sungjun Cho & Liu Liu, 2023. "Correcting estimation bias in regime switching dynamic term structure models," Review of Quantitative Finance and Accounting, Springer, vol. 61(3), pages 1093-1127, October.
  97. Ranjit Singh & Jayashree Bhattacharjee & K. Kajol, 2024. "Factors Affecting Risk Perception in Respect of Equity Shares: A Social Network Analysis Approach," Vision, , vol. 28(3), pages 386-399, June.
  98. Jacopo Piana & Daniele Bianchi, 2017. "Expected Spot Prices and the Dynamics of Commodity Risk Premia," 2017 Meeting Papers 1149, Society for Economic Dynamics.
  99. Laura Veldkamp, 2022. "Understanding Uncertainty Shocks and the Role of Black Swans," Finance and Economics Discussion Series 2022-083, Board of Governors of the Federal Reserve System (U.S.).
  100. Demian Pouzo & Ignacio Presno, 2016. "Sovereign Default Risk and Uncertainty Premia," American Economic Journal: Macroeconomics, American Economic Association, vol. 8(3), pages 230-266, July.
  101. Laura Veldkamp & Anna Orlik, 2014. "Uncertainty Shocks and the Role of the Black Swan," 2014 Meeting Papers 275, Society for Economic Dynamics.
  102. Lars Peter Hansen, 2017. "Comment on "Survey Measurement of Probabilistic Economic Expectations: Progress and Promise"," NBER Chapters, in: NBER Macroeconomics Annual 2017, volume 32, pages 479-489, National Bureau of Economic Research, Inc.
  103. Yiqun Mou & Lars A. Lochstoer & Michael Johannes, 2011. "Learning about Consumption Dynamics," 2011 Meeting Papers 306, Society for Economic Dynamics.
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