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Uncertainty and Decision-Making During a Crisis : How to Make Policy Decisions in the COVID-19 Context?

Berger, Loic - 2020

Policymaking during a pandemic can be extremely challenging. As COVID-19 is a new disease and its global impacts are unprecedented, decisions need to be made in a highly uncertain, complex and rapidly changing environment. In such a context, in which human lives and the economy are at stake, we...

Persistent link: https://www.econbiz.de/10012828748

Risk Price Dynamics

Borovička, Jaroslav - 2019

We present a novel approach to depicting asset pricing dynamics by characterizing shock exposures and prices for alternative investment horizons. We quantify the shock exposures in terms of elasticities that measure the impact of a current shock on future cash-flow growth. The elasticities are...

Persistent link: https://www.econbiz.de/10012871777

Stochastic Compounding and Uncertain Valuation

Hansen, Lars Peter - 2016

Exploring long-term implications of valuation leads us to recover and use a distorted probability measure that reflects the long-term implications for risk pricing. This measure is typically distinct from the physical and the risk neutral measures that are well known in mathematical finance. We...

Persistent link: https://www.econbiz.de/10013007552

Prices of Macroeconomic Uncertainties with Tenuous Beliefs

Hansen, Lars Peter - 2017

equilibrium uncertainty prices that confront a robust decision maker who solves a portfolio choice problem and offer a … quantitative illustration for structured parametric models that focus uncertainty on macroeconomic growth and its persistence …. Nonlinearities in marginal valuations induce time variation in market prices of uncertainty that fluctuate because the investor …

Persistent link: https://www.econbiz.de/10012955704

Consumption Strikes Back? Measuring Long-Run Risk

Hansen, Lars Peter - 2017

We characterize and measure a long-term risk-return trade-off for the valuation of cash flows exposed to fluctuations in macroeconomic growth. This trade-off features risk prices of cash flows that are realized far into the future but continue to be reflected in asset values. We apply this...

Persistent link: https://www.econbiz.de/10012962927

Term Structure of Uncertainty in the Macroeconomy

Borovička, Jaroslav - 2016

. The outcome is a term structure of macroeconomic uncertainty …

Persistent link: https://www.econbiz.de/10012988082

Term Structure of Uncertainty in the Macroeconomy

Borovička, Jaroslav - 2016

. The outcome is a term structure of macroeconomic uncertainty …

Persistent link: https://www.econbiz.de/10012989552

Uncertainty Outside and Inside Economic Models

Hansen, Lars Peter - 2015

We must infer what the future situation would be without our interference, and what changes will be wrought by our actions. Fortunately, or unfortunately, none of these processes is infallible, or indeed ever accurate and complete. Knight (1921)

Persistent link: https://www.econbiz.de/10013033066

Uncertainty Outside and Inside Economic Models

Hansen, Lars Peter - 2014

Persistent link: https://www.econbiz.de/10013048614

Robust Identification of investor beliefs

Chen, Xiaohong; Hansen, Lars Peter; Hansen, Peter G. - 2020 - This draft: May 14, 2020

Persistent link: https://www.econbiz.de/10012320533