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This paper develops a dynamic asset pricing model with persistent heterogeneous beliefs. The model features competitive traders who receive idiosyncratic signals about an underlying fundamentals process. We adapt Futia’s (1981) frequency domain methods to derive conditions on the fundamentals...
Persistent link: https://www.econbiz.de/10005727876
This article develops a dynamic asset pricing model with persistent heterogeneous beliefs. The model features competitive traders who receive idiosyncratic signals about an underlying fundamentals process. We adapt Futia's (1981) frequency domain methods to derive conditions on the fundamentals...
Persistent link: https://www.econbiz.de/10011277909
Persistent link: https://www.econbiz.de/10005296558
This paper derives a formula for the optimal forecast of a discounted sum of future values of a random variable. This problem reflects a preference for robustness in the presence of (unstructured) model uncertainty. The paper shows that revisions of a robust forecast are more sensitive to new...
Persistent link: https://www.econbiz.de/10005514425
Persistent link: https://www.econbiz.de/10005540156
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Persistent link: https://www.econbiz.de/10005490722
Following Campbell (1987) and Campbell and Shiller (1987), many papers have evaluated the intertemporal approach to the current account by testing restrictions on a Vector Autoregression (VAR). The attractiveness of the Campbell-Shiller methodology is that it is thought to be immune to omitted...
Persistent link: https://www.econbiz.de/10005401544
This paper studies a competitive banking industry subject to common and idiosyncratic shocks. The induced correlation across bank portfolio returns can be used by a regulator to improve inferences about bank portfolio choices. We compare two types of closure rules: (1) an 'absolute closure...
Persistent link: https://www.econbiz.de/10005401549
Using results from the literature on H-control, this paper incorporates model uncertainty into Whiteman's (1986) frequency domain approach to stabilization policy. The derived policies guarantee a minimum performance level even in the worst of (a bounded set of) circumstances. ; For a given...
Persistent link: https://www.econbiz.de/10005401619