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Learning under ambiguity : a note on the belief dynamics of Epstein and Schneider (2007)
Heyen, Daniel - 2014
Epstein and Schneider (2007) develop a framework of learning under ambiguity, generalizing maxmin preferences of Gilboa … rejection of initial priors that have become implausible over the learning process. I demonstrate that this feature of ex …
Persistent link: https://www.econbiz.de/10010424809
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Biased Learning under Ambiguous Information
Chen, Jaden Yang - 2021
model ambiguity has the following effects. First, it destroys correct learning even if infinitely many informative signals …
Persistent link: https://www.econbiz.de/10013234442
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Credit Constraints, Capital Portfolios, and Measured Productivity
Duncan, Alfred; Mulay, Anup - 2022
We draw a straight line connecting financial shocks, capital investment decisions by firms, and change in measured aggregate productivity using a dynamic general equilibrium model. Data shows that post the 2008 crisis, firms changed their allocation between assets of varying depreciation rates...
Persistent link: https://www.econbiz.de/10014238987
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Propagation of Carbon Taxes in Credit Portfolio Through Macroeconomic Factors
Bouveret, Géraldine; Chassagneux, Jean-françois; … - 2023
We study how the introduction of carbon taxes in a closed economy propagate in a credit portfolio and precisely describe how carbon taxes dynamics affect the firm value and credit risk measures such as probability of default, expected and unexpected losses.We adapt a stochastic multisectoral...
Persistent link: https://www.econbiz.de/10014349359
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The existence of informationally efficient markets when individuals are rational
Muendler, Marc-Andreas - 2004
A rational-expectations equilibrium with positive demand for financial information does exist under fully revealing … average portfolio demand information in equilibrium if they can adjust portfolio size. More information diminishes the … endowments strongly differ from the average portfolio are worse off. Under fully revealing price, information market equilibria …
Persistent link: https://www.econbiz.de/10011451345
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Why does return predictability concentrate in bad times?
Cujean, Julien; Hasler, Michael - 2017
We build an equilibrium model to explain why stock return predictability concentrates in bad times. The key feature is that investors use different forecasting models, and hence assess uncertainty differently. As economic conditions deteriorate, uncertainty rises and investors' opinions...
Persistent link: https://www.econbiz.de/10011721618
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Real-financial interaction in contemporary models of AS-AD growth
Köper, Carsten - 2003
Persistent link: https://www.econbiz.de/10001751276
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Sequential Learning, Asset Allocation, and Bitcoin Returns
Yae, James; Tian, George Zhe - 2021
pattern in light of asset allocation practices and investors' learning on time-varying correlation …
Persistent link: https://www.econbiz.de/10013217407
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Stabilizing an unstable economy : on the choice of proper policy measures
Asada, Tōichirō; Chiarella, Carl; Flaschel, Peter; … - 2009
Currently, many monetary and fiscal policy measures are aimed at preventing the financial market meltdown that started in the US subprime sector and has spread worldwide as a great recession. Although some slow recovery appears to be on the horizon, it is worthwhile exploring the fragility and...
Persistent link: https://www.econbiz.de/10003905077
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Stabilizing an unstable economy : on the choice of proper policy measures
Asada, Tōichirō; Chiarella, Carl; Flaschel, Peter; … - 2010
In the last months, the world's economies were confronted with the largest economic recession since the Great Depression. The occurrence of a worldwide financial market meltdown as a consequence originally stemming from of the crisis in the US subprime housing sector was only prevented by...
Persistent link: https://www.econbiz.de/10003985522