10.17889/E109038
Johannes, Michael
Collin-Dufresne, Pierre
Lochstoer, Lars A.
Replication data for: Parameter Learning in General Equilibrium: The Asset Pricing Implications
ICPSR Inter-university Consortium for Political and Social Research
2015
10.1257/aer.20130392
10.1257/aer.20130392
V0
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)