Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/217119 
Erscheinungsjahr: 
2018
Quellenangabe: 
[Journal:] Quantitative Economics [ISSN:] 1759-7331 [Volume:] 9 [Issue:] 2 [Publisher:] The Econometric Society [Place:] New Haven, CT [Year:] 2018 [Pages:] 945-993
Verlag: 
The Econometric Society, New Haven, CT
Zusammenfassung: 
This paper assesses the quantitative impact of ambiguity on historically observed financial asset returns and growth rates. The single agent, in a dynamic exchange economy, treats the conditional uncertainty about the consumption and dividends next period as ambiguous. We calibrate the agent's ambiguity aversion to match only the first moment of the risk-free rate in data and measure the uncertainty each period conditional on the actual, observed history of (U.S.) macroeconomic growth outcomes. Ambiguity aversion accentuates the effect of conditional uncertainty endogenously in a dynamic way, depending on the history; for example, it increases during recessions. We show the model implied time series of asset returns substantially match the first and second conditional moments of observed return dynamics. In particular, we find the time-series properties of our model generated equity premium, which may be regarded as an index measure of revealed uncertainty, relates closely to those of the macroeconomic uncertainty indices developed recently in Jurado, Ludvigson, and Ng, 2015 and Carriero, Clark, and Marcellino, forthcoming.
Schlagwörter: 
Ambiguity aversion
asset pricing
equity premium puzzle
time-varying uncertainty
uncertainty shocks
JEL: 
C63
D81
E21
G12
Persistent Identifier der Erstveröffentlichung: 
Creative-Commons-Lizenz: 
cc-by-nc Logo
Dokumentart: 
Article

Datei(en):
Datei
Größe
795.83 kB
90.88 kB





Publikationen in EconStor sind urheberrechtlich geschützt.