Ambiguity Aversion, Asset Prices, and the Welfare Costs of Aggregate Fluctuations
Ambiguity Aversion, Asset Prices, and the Welfare Costs of Aggregate Fluctuations
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模糊厌恶、资产价格和总体波动的福利成本
DOI：
10.2139/ssrn.986559
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发表时间：
2008
期刊：
影响因子：
--
通讯作者：
M. Prado
中科院分区：
文献类型：
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作者：
Irasema Alonso;M. Prado
在假设美国总消费是随机的，更重要的是，被消费者视为模棱两可的假设下，我们研究了对资产价格的影响，以及消费波动如何影响消费者福利。我们考虑的是一个简单的梅赫拉-普雷斯科特式的捐赠经济，一个有代表性的代理人面临着消费波动，并与1889年至2008年的美国数据相匹配。我们的实验是限制偏好参数，以便尽可能地匹配一些资产价格事实-平均股本回报率和短期无风险债券-然后计算在给定这些参数的情况下消除所有消费波动的福利收益。这些好处被证明是相当大的：在我们的基准校准下，消费者愿意支付大约10%的永久性消费。
Under the hypothesis that aggregate U.S. consumption is random and, more importantly, viewed as ambiguous by consumers, we examine the implications for asset prices and for how consumption fluctuations influence consumer welfare. We consider a simple, Mehra–Prescott-style endowment economy with a representative agent facing consumption fluctuations calibrated to match U.S. data from 1889 to 2008. Our experiment is to restrict preference parameters in order to as well as possible match some asset-price facts—the average returns on equity and a short-term risk-free bond—and then compute the welfare benefits of removing all consumption fluctuations given those parameters. These benefits turn out to be quite large: consumers are willing to pay about 10% of consumption in permanent terms under our benchmark calibration.