Replication data for: Parameter Learning in General Equilibrium: The Asset Pricing Implications
- Collin-Dufresne, Pierre
- Johannes, Michael
- Lochstoer, Lars A.
AbstractParameter learning strongly amplifies the impact of macroeconomic 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, rare events, or model selection. Overall, parameter learning generates long-lasting, quantitatively significant additional macroeconomic risks that help explain standard asset pricing puzzles. (JEL C52, D83, E13, E32, G12)
Is supplement to
DOI: 10.1257/aer.20130392 (Text)
Collin-Dufresne, Pierre, Michael Johannes, and Lars A. Lochstoer. “Parameter Learning in General Equilibrium: The Asset Pricing Implications.” American Economic Review 106, no. 3 (March 2016): 664–98. https://doi.org/10.1257/aer.20130392.
- ID: 10.1257/aer.20130392 (DOI)
Update Metadata: 2020-05-18 | Issue Number: 2 | Registration Date: 2019-10-12