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Replication data for: Parameter Learning in General Equilibrium: The Asset Pricing Implications

Version
V0
Resource Type
Dataset
Creator
  • Collin-Dufresne, Pierre
  • Johannes, Michael
  • Lochstoer, Lars A.
Publication Date
2016-03-01
Description
  • Abstract

    Parameter 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)
Availability
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Relations
  • Is supplement to
    DOI: 10.1257/aer.20130392 (Text)
Publications
  • 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

Collin-Dufresne, Pierre; Johannes, Michael; Lochstoer, Lars A. (2016): Replication data for: Parameter Learning in General Equilibrium: The Asset Pricing Implications. Version: V0. ICPSR - Interuniversity Consortium for Political and Social Research. Dataset. https://doi.org/10.3886/E112915