with two regimes, and where households have generalized recursive smooth ambiguity preferences. The adopted class of … preferences permits a three-way separation of risk aversion, ambiguity aversion, and the attitude toward intertemporal … substitution. Ambiguity averse agents are ambiguous about the probability distribution of productivity growth. We show that in the …

only possible if all discounted net trades of the equilibrium allocation are mean ambiguity-free. …

models featuring smooth ambiguity preferences. We rely on semi-nonparametric estimation of a flexible auxiliary model in our … pricing models with smooth ambiguity. Statistical model comparison shows that models with ambiguity, learning and time …

with two regimes, and where households have generalized recursive smooth ambiguity preferences. The adopted class of … preferences permits a three-way separation of risk aversion, ambiguity aversion, and the attitude toward intertemporal … substitution. Ambiguity averse agents are ambiguous about the probability distribution of productivity growth. We show that in the …

ambiguity aversion in the spirit of Klibanoff et al. (2005). I calibrate the model to the post-war US data. The main findings … unconditional mean of equity premium. -- Countercylical ; Equity premium ; Markov switching ; Smooth ambiguity ; Stochastic growth …

chain and with an ambiguity averse representative agent. Our model requires a low coefficient of relative risk aversion to …