rates. The single agent, in a dynamic exchange economy, treats the conditional uncertainty about the consumption and … dividends next period as ambiguous. We calibrate the agent's ambiguity aversion to match only the first moment of the risk …

rates. The single agent, in a dynamic exchange economy, treats the conditional uncertainty about the consumption and … dividends next period as ambiguous. We calibrate the agent's ambiguity aversion to match only the first moment of the risk …

and the risk premium is 16 percent of lifetime consumption. These values are about a third of the previously implied …Long-run risk models, a cornerstone in the macro-finance literature for their ability to capture key asset price … phenomena, are known to entail implausibly high levels of timing and risk premia. Our paper resolves this puzzle by considering …

on consumption growth induces a "flight to safety" that results in lower risk-free rates, higher equity premium, and … structural parameters of the aggregate consumption and dividend growth rate processes are unknown. With realistic calibration of … a parsimonious set of prior parameters, the model generates a sizeable equity premium and a low risk-free rate even with …

respect to consumption --- but not dividend --- growth are at least as effective as variations in risk aversion, or in the …We examine the effects of estimation risk and Bayesian learning on equilibrium asset prices when there is uncertainty … about both the first and second moments of consumption and dividend growth rates. For the 1891-2007 period, our model …

augmented with anticipated shocks. Accounting for agents' expectations atthe business cycle horizon results in aggregate risk … aggregate risk …

-agents model with two main ingredients: i) rare disasters; ii) heterogeneous beliefs. The model captures time-varying risk premia …

We decompose the standard consumption beta into two components that measure consumption risk in high and low economic … activity states. Recessionary consumption risk commands a positive and statistically significant compensation, while the market … price of expansionary consumption risk is not robust. The two-beta model explains well the cross-section of excess returns …