Finance Seminar with Lars Lochstoer, Columbia University

Upcoming finance Seminar with Lars Lochstoer, Graduate School of Business, Columbia University

Fredag, 12 april, 2013 - 11:00 to 12:15

The Department of Finance is proud to announce the upcoming seminar with Lars Lochstoer, Graduate School of Business, Columbia University

Lars Lochstoer will present:

Parameter Learning in General Equilibrium: The Asset Pricing Implications
 
Authors
Pierre Collin-Dufresne, Michael Johannes, and Lars A. Lochstoer, Columbia Business School
 
Abstract
Parameter learning strongly amplifies the impact of macro shocks on marginal utility when the representative agent has a preference for early resolution of uncertainty. This occurs as rational belief updating generates subjective long-run consumption risks. We consider general equilibrium models with unknown parameters governing either long-run economic growth, the variance of shocks, rare events, or model selection. Overall, parameter learning generates long-lasting, quantitatively significant additional macro risks that help explain standard asset pricing puzzles.

See the full paper here

More information about Lars Lochstoer, please see here

 

Sidst opdateret: Department of Finance // 22/08/2013