We propose two metrics for asset pricing models and apply them to representative agent models with recursive preferences, habits, and jumps. The metrics describe the pricing kernel's dispersion (the entropy of the title) and dynamics (time dependence, a measure of how entropy varies over...

Identi fication problems arise naturally in forward-looking models when agents observe more than economists. We illustrate the problem in several macro- finance models with Taylor rules. When the shock to the rule is observed by agents but not economists, identifi cation of the rule's parameters...

Identification problems arise in New Keynesian and macro-finance models when the Taylor rule includes both responses to observable variables like inflation and output, and a shock unseen by economists. Identification of the rule's parameters requires additional restrictions on this unobserved...

and dynamic interaction between volatility and growth.

We explore the properties of Pareto optimal allocations when agents have heterogeneous recursive preferences. The dynamics of individual consumption growth reflect not just standard mean-variance tradeoffs as in the expected-utility model, but also tradeoffs involving the timing of the...

that central banks incur for implementing Taylor rule type policies.

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