Learning with Rare Disasters
Learning with Rare Disasters
复制标题
从罕见灾害中学习
DOI：
10.2139/ssrn.3407397
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发表时间：
2019
期刊：
影响因子：
--
通讯作者：
Yicheng Zhu
中科院分区：
文献类型：
--
作者：
Jessica A. Wachter;Yicheng Zhu
金融危机似乎具有持久的影响，甚至在危机本身过去之后也是如此。本文通过罕见事件贝叶斯学习给出了一个简单的解释。代理人面临着潜在的、随时间变化的经济灾难概率。当灾难发生时，学习对资产价格的影响更大，因为代理人更新了他们未来灾难的概率。此外，即使灾难风险实际上很低，代理人认为灾难风险高的信念也可以理性地持续数年。我们对模型进行了推广，以考虑到灾害概率的噪声信号。这个广义模型解释了股票市场的过度波动和负偏度，这是以往文献中模型难以解释的效应。
Financial crises appear to have long-lasting effects, even after the crisis itself has past. This paper offers a simple explanation through Bayesian learning from rare events. Agents face a latent and time-varying probability of economic disaster. When a disaster occurs, learning results in greater effects on asset prices because agents update their probability of future disasters. Moreover, agents' belief that the disaster risk is high can rationally persist for years, even when it is in fact low. We generalize the model to allow for a noisy signal of the disaster probability. This generalized model explains excess stock market volatility together with negative skewness, effects that previous models in the literature struggle to explain.