Zusammenfassung:
The pricing kernel is an important tool for understanding asset prices, expected returns, and investor preferences. However, empirical findings often reveal deviations from theoretical predictions, leading to the so-called "pricing kernel puzzle". This article explores the pricing kernel under Knightian uncertainty driven by identifiable business cycles. In a pure exchange economy with a representative agent exhibiting smooth ambiguity preferences, the pricing kernel is derived from equilibrium asset prices. By linking normal variance-mean mixtures with model uncertainty, we account for agents facing uncertainty across a continuum of economic regimes. Our results show that the pricing kernel can either decrease monotonically or exhibit a U-shape, depending on the level of ambiguity aversion. Additionally, we provide economic insights into the conditions that give rise to a U-shaped pricing kernel.