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Doubts or Variability?

In: UNCERTAINTY WITHIN ECONOMIC MODELS

Citations

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Cited by:

  1. Hansen, Lars Peter & Sargent, Thomas J., 2022. "Structured ambiguity and model misspecification," Journal of Economic Theory, Elsevier, vol. 199(C).
  2. Rhys Bidder & Ian Dew-Becker, 2016. "Long-Run Risk Is the Worst-Case Scenario," American Economic Review, American Economic Association, vol. 106(9), pages 2494-2527, September.
  3. Baumann Robert & Svec Justin, 2016. "The Impact of Political Uncertainty: A Robust Control Approach," The B.E. Journal of Economic Analysis & Policy, De Gruyter, vol. 16(2), pages 837-863, April.
  4. repec:hal:spmain:info:hdl:2441/7l10qorvrv8tuafch6e0ert238 is not listed on IDEAS
  5. Benigno, Pierpaolo & Paciello, Luigi, 2014. "Monetary policy, doubts and asset prices," Journal of Monetary Economics, Elsevier, vol. 64(C), pages 85-98.
  6. Nengjiu Ju & Jianjun Miao, 2012. "Ambiguity, Learning, and Asset Returns," Econometrica, Econometric Society, vol. 80(2), pages 559-591, March.
  7. Larry G. Epstein & Martin Schneider, 2010. "Ambiguity and Asset Markets," Annual Review of Financial Economics, Annual Reviews, vol. 2(1), pages 315-346, December.
  8. Adam, Klaus & Woodford, Michael, 2021. "Robustly optimal monetary policy in a new Keynesian model with housing," Journal of Economic Theory, Elsevier, vol. 198(C).
  9. Andreasen, Martin M., 2012. "An estimated DSGE model: Explaining variation in nominal term premia, real term premia, and inflation risk premia," European Economic Review, Elsevier, vol. 56(8), pages 1656-1674.
  10. Martin Kliem & Alexander Meyer‐Gohde, 2022. "(Un)expected monetary policy shocks and term premia," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(3), pages 477-499, April.
  11. Sebastian Di Tella, 2018. "A Neoclassical Theory of Liquidity Traps," 2018 Meeting Papers 96, Society for Economic Dynamics.
  12. Ian Dew-Becker & Stefano Giglio, 2016. "Asset Pricing in the Frequency Domain: Theory and Empirics," The Review of Financial Studies, Society for Financial Studies, vol. 29(8), pages 2029-2068.
  13. Konstantinos Angelopoulos & Jim Malley, 2010. "Fear of Model Misspecification and the Robustness Premium," CESifo Working Paper Series 3186, CESifo.
  14. Giovanni Pellegrino & Efrem Castelnuovo & Giovanni Caggiano, 2020. "Uncertainty and Monetary Policy during Extreme Events," CESifo Working Paper Series 8561, CESifo.
  15. Martin Ellison & Andreas Tischbirek, 2021. "Beauty Contests and the Term Structure [Risk Premia and Term Premia in General Equilibrium]," Journal of the European Economic Association, European Economic Association, vol. 19(4), pages 2234-2282.
  16. Jesus Fernandez-Villaverde & Pablo Guerron-Quintana, 2020. "Uncertainty Shocks and Business Cycle Research," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 37, pages 118-166, August.
  17. Bidder, R.M. & Smith, M.E., 2018. "Doubts and variability: A robust perspective on exotic consumption series," Journal of Economic Theory, Elsevier, vol. 175(C), pages 689-712.
  18. Ruge-Murcia, Francisco, 2024. "Asset prices in a production network," European Economic Review, Elsevier, vol. 166(C).
  19. Cosmin L. Ilut & Martin Schneider, 2022. "Modeling Uncertainty as Ambiguity: a Review," NBER Working Papers 29915, National Bureau of Economic Research, Inc.
  20. J. David Lopez-Salido & Francisco Vazquez-Grande & Pierlauro Lopez, 2015. "Macro-Finance Separation by Force of Habit," 2015 Meeting Papers 980, Society for Economic Dynamics.
  21. Jeleva, Meglena & Tallon, Jean-Marc, 2016. "Ambiguïté, comportements et marchés financiers," L'Actualité Economique, Société Canadienne de Science Economique, vol. 92(1-2), pages 351-383, Mars-Juin.
  22. Matthew Smith, 2012. "Estimating Nonlinear Economic Models Using Surrogate Transitions," 2012 Meeting Papers 494, Society for Economic Dynamics.
  23. David Dillenberger & Daniel Gottlieb & Pietro Ortoleva, 2017. "Stochastic Impatience and the Separation of Time and Risk Preferences," PIER Working Paper Archive 20-026, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 05 Jul 2020.
  24. Agarwal, Vikas & Arisoy, Y. Eser & Naik, Narayan Y., 2017. "Volatility of aggregate volatility and hedge fund returns," Journal of Financial Economics, Elsevier, vol. 125(3), pages 491-510.
  25. Axelle Ferriere & Anastasios G. Karantounias, 2019. "Fiscal Austerity in Ambiguous Times," American Economic Journal: Macroeconomics, American Economic Association, vol. 11(1), pages 89-131, January.
  26. Guillén, Osmani Teixeira de Carvalho & Issler, João Victor & Franco-Neto, Afonso Arinos de Mello, 2014. "On the welfare costs of business-cycle fluctuations and economic-growth variation in the 20th century and beyond," Journal of Economic Dynamics and Control, Elsevier, vol. 39(C), pages 62-78.
  27. Almeida, Caio & Engel, Pedro & Valente, Joao Paulo, 2019. "Risk Aversion or Model Uncertainty? An Empirical Cross-Sectional Analysis Across Countries," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 38(2), January.
  28. Meyer-Gohde, Alexander, 2019. "Generalized entropy and model uncertainty," Journal of Economic Theory, Elsevier, vol. 183(C), pages 312-343.
  29. repec:spo:wpmain:info:hdl:2441/7l10qorvrv8tuafch6e0ert238 is not listed on IDEAS
  30. Moreno Othón M., 2014. "Consumption of Durable Goods under Ambiguity," Working Papers 2014-02, Banco de México.
  31. Issler, João Victor & Rodrigues, Claudia & Burjack, Rafael, 2014. "Using common features to understand the behavior of metal-commodity prices and forecast them at different horizons," Journal of International Money and Finance, Elsevier, vol. 42(C), pages 310-335.
  32. Guillen, Osmani Teixeira Carvalho & Issler, João Victor & Franco Neto, Afonso Arinos de Mello, 2012. "On the welfare costs of business-cycle fluctuations and economic-growth variation in the 20th century," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 734, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
  33. Eric T. Swanson, 2020. "Implications of Labor Market Frictions for Risk Aversion and Risk Premia," American Economic Journal: Macroeconomics, American Economic Association, vol. 12(2), pages 194-240, April.
  34. Ohanian, Lee E. & Prescott, Edward C. & Stokey, Nancy L., 2009. "Introduction to dynamic general equilibrium," Journal of Economic Theory, Elsevier, vol. 144(6), pages 2235-2246, November.
  35. Nina Boyarchenko & Mario Cerrato & John Crosby & Stewart Hodges, 2012. "No good deals—no bad models," Staff Reports 589, Federal Reserve Bank of New York.
  36. Rieger, Marc Oliver & Wang, Mei, 2012. "Can ambiguity aversion solve the equity premium puzzle? Survey evidence from international data," Finance Research Letters, Elsevier, vol. 9(2), pages 63-72.
  37. Christensen, Timothy M., 2022. "Existence and uniqueness of recursive utilities without boundedness," Journal of Economic Theory, Elsevier, vol. 200(C).
  38. Kasa, Kenneth & Lei, Xiaowen, 2018. "Risk, uncertainty, and the dynamics of inequality," Journal of Monetary Economics, Elsevier, vol. 94(C), pages 60-78.
  39. Luca De Gennaro Aquino & Xuedong He & Moris Simon Strub & Yuting Yang, 2024. "Reference-dependent asset pricing with a stochastic consumption-dividend ratio," Papers 2401.12856, arXiv.org.
  40. Pierpaolo Benigno & Salvatore Nisticò, 2012. "International Portfolio Allocation under Model Uncertainty," American Economic Journal: Macroeconomics, American Economic Association, vol. 4(1), pages 144-189, January.
  41. Marc Oliver Rieger & Thorsten Hens & Mei Wang, 2013. "International Evidence on the Equity Premium Puzzle and Time Discounting," Multinational Finance Journal, Multinational Finance Journal, vol. 17(3-4), pages 149-163, September.
  42. Andrew McKenna & Rhys Bidder, 2014. "Robust Stress Testing," 2014 Meeting Papers 853, Society for Economic Dynamics.
  43. repec:hum:wpaper:sfb649dp2017-015 is not listed on IDEAS
  44. P. Lopez, 2014. "The Term Structure of the Welfare Cost of Uncertainty," Working papers 521, Banque de France.
  45. Burçin Kısacıkoğlu, 2020. "Real Term Structure and New Keynesian Models," International Journal of Central Banking, International Journal of Central Banking, vol. 16(3), pages 95-139, June.
  46. Gonçalo Faria & João Correia-da-Silva, 2012. "The price of risk and ambiguity in an intertemporal general equilibrium model of asset prices," Annals of Finance, Springer, vol. 8(4), pages 507-531, November.
  47. Yulei Luo & Jun Nie & Eric Young, 2015. "Robust permanent income in general equilibrium," Research Working Paper RWP 15-14, Federal Reserve Bank of Kansas City.
  48. Todd Sarver, 2012. "Optimal Reference Points and Anticipation," Discussion Papers 1566, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
  49. Zhang, Xin & Zhong, Shiquan & Jia, Ning & Ling, Shuai & Yao, Wang & Ma, Shoufeng, 2024. "A barrier to the promotion of app-based ridesplitting: Travelers’ ambiguity aversion in mode choice," Transportation Research Part A: Policy and Practice, Elsevier, vol. 181(C).
  50. repec:hum:wpaper:sfb649dp2017-017 is not listed on IDEAS
  51. Minh Hai Ngo & Marc Oliver Rieger & Shuonan Yuan, 2018. "The Fundamental Equity Premium and Ambiguity Aversion in an International Context," Risks, MDPI, vol. 6(4), pages 1-24, November.
  52. Timothy M. Christensen, 2020. "Existence and uniqueness of recursive utilities without boundedness," Papers 2008.00963, arXiv.org, revised Aug 2021.
  53. Rhys M. Bidder & Ian Dew-Becker, 2014. "Long-Run Risk is the Worst-Case Scenario: Ambiguity Aversion and Non-Parametric Estimation of the Endowment Process," Working Paper Series 2014-16, Federal Reserve Bank of San Francisco.
  54. Thomas J. Sargent, 2015. "Robert E. Lucas Jr.'s Collected Papers on Monetary Theory," Journal of Economic Literature, American Economic Association, vol. 53(1), pages 43-64, March.
  55. Eric Swanson, 2015. "A Macroeconomic Model of Equities and Real, Nominal, and Defaultable Debt," 2015 Meeting Papers 273, Society for Economic Dynamics.
  56. Breuer, Thomas & Csiszár, Imre, 2013. "Systematic stress tests with entropic plausibility constraints," Journal of Banking & Finance, Elsevier, vol. 37(5), pages 1552-1559.
  57. Heiberger, Christopher & Maußner, Alfred, 2020. "Perturbation solution and welfare costs of business cycles in DSGE models," Journal of Economic Dynamics and Control, Elsevier, vol. 113(C).
  58. Anmol Bhandari & Jaroslav Borovička & Paul Ho, 2016. "Identifying Ambiguity Shocks in Business Cycle Models Using Survey Data," NBER Working Papers 22225, National Bureau of Economic Research, Inc.
  59. Szőke, Bálint, 2022. "Estimating robustness," Journal of Economic Theory, Elsevier, vol. 199(C).
  60. Ignacio Presno & Demian Pouzo, 2012. "Sovereign Default Risk and Uncertainty Premia," 2012 Meeting Papers 608, Society for Economic Dynamics.
  61. François Gourio & Phuong Ngo, 2024. "Downward Nominal Rigidities and Bond Premia," Working Paper Series WP 2024-09, Federal Reserve Bank of Chicago.
  62. Ellison, Martin & Sargent, Thomas J., 2012. "Welfare cost of business cycles in economies with individual consumption risk," Bank of Finland Research Discussion Papers 25/2012, Bank of Finland.
  63. Ellison, Martin & Sargent, Thomas J., 2012. "Welfare cost of business cycles in economies with individual consumption risk," Research Discussion Papers 25/2012, Bank of Finland.
  64. Leyla Jianyu Han & Kenneth Kasa, 2019. "Ambiguity and Information Processing in a Model of Intermediary Asset Pricing," Discussion Papers dp19-04, Department of Economics, Simon Fraser University.
  65. Okubo, Masakatsu, 2023. "Model uncertainty, economic development, and welfare costs of business cycles," Journal of Macroeconomics, Elsevier, vol. 76(C).
  66. Mariano M. Croce & Riccardo Colacito, 2010. "International Asset Pricing with Risk-Sensitive Rare Events," 2010 Meeting Papers 176, Society for Economic Dynamics.
  67. Boyarchenko, Nina, 2012. "Ambiguity shifts and the 2007–2008 financial crisis," Journal of Monetary Economics, Elsevier, vol. 59(5), pages 493-507.
  68. Massimo Guidolin & Francesca Rinaldi, 2013. "Ambiguity in asset pricing and portfolio choice: a review of the literature," Theory and Decision, Springer, vol. 74(2), pages 183-217, February.
  69. Hansen, Lars Peter & Sargent, Thomas J., 2011. "Robustness and ambiguity in continuous time," Journal of Economic Theory, Elsevier, vol. 146(3), pages 1195-1223, May.
  70. Christopher Heiberger & Alfred Maussner, 2018. "Business Cycle Uncertainty and Economic Welfare Revisited," Discussion Paper Series 335, Universitaet Augsburg, Institute for Economics.
  71. Abootaleb Shirvani & Stoyan V. Stoyanov & Frank J. Fabozzi & Svetlozar T. Rachev, 2021. "Equity premium puzzle or faulty economic modelling?," Review of Quantitative Finance and Accounting, Springer, vol. 56(4), pages 1329-1342, May.
  72. Thomas Breuer & Imre Csiszar, 2013. "Measuring Model Risk," Papers 1301.4832, arXiv.org.
  73. Jang, Bong-Gyu & Lee, Seungkyu & Lim, Byung Hwa, 2016. "Robust consumption and portfolio rules with time-varying model confidence," Finance Research Letters, Elsevier, vol. 18(C), pages 342-352.
  74. Sebastian Di Tella, 2020. "Risk Premia and the Real Effects of Money," American Economic Review, American Economic Association, vol. 110(7), pages 1995-2040, July.
  75. Thomas J. Sargent & John Stachurski, 2024. "Dynamic Programming: Finite States," Papers 2401.10473, arXiv.org.
  76. Anh Ngoc Quang Huynh & Toan Luu Duc Huynh, 2021. "Book Review “Cultural Finance: A World Map of Risk, Time and Money” by Thorsten Hens, Marc Oliver Rieger, and Mei Wang. Singapore: World Scientific Publishing Co. Pte. Ltd., 2020; ISBN 9789811221958," JRFM, MDPI, vol. 14(6), pages 1-5, June.
  77. Yulei Luo & Jun Nie & Eric R Young, 2020. "Ambiguity, Low Risk-Free Rates and Consumption Inequality," The Economic Journal, Royal Economic Society, vol. 130(632), pages 2649-2679.
  78. Pierlauro Lopez, 2016. "Welfare Implications of the Term Structure of Returns: Should Central Banks Fill Gaps or Remove Volatility?," 2016 Meeting Papers 742, Society for Economic Dynamics.
  79. repec:zbw:bofrdp:2012_025 is not listed on IDEAS
  80. Saito, Yuta, 2020. "Bequeathing in ambiguous times," MPRA Paper 102718, University Library of Munich, Germany.
  81. Almeida, Caio & Engel, Pedro & Valente, Joao Paulo, 2018. "Risk Aversion or Model Uncertainty? An Empirical Cross-Sectional Analysis Across Countries," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 38(2).
  82. Okubo, Masakatsu, 2018. "On the computation of detection error probabilities under normality assumptions," Economics Letters, Elsevier, vol. 171(C), pages 106-109.
  83. Thomas J. Sargent, 2007. "Commentary on \\"Long-run risks and financial markets\\"," Review, Federal Reserve Bank of St. Louis, vol. 89(Jul), pages 301-304.
  84. Djeutem, Edouard, 2014. "Model uncertainty and the Forward Premium Puzzle," Journal of International Money and Finance, Elsevier, vol. 46(C), pages 16-40.
  85. Martin Ellison & Thomas J. Sargent, 2015. "Welfare Cost of Business Cycles with Idiosyncratic Consumption Risk and a Preference for Robustness," American Economic Journal: Macroeconomics, American Economic Association, vol. 7(2), pages 40-57, April.
  86. Martin Schneider, 2010. "The Research Agenda: Martin Schneider on Multiple Priors Preferences and Financial Markets," EconomicDynamics Newsletter, Review of Economic Dynamics, vol. 11(2), April.
  87. Thien Nguyen & Lukas Schmid & Mariano Croce, 2014. "Global Entropy," 2014 Meeting Papers 1345, Society for Economic Dynamics.
  88. Croce, Mariano M. & Nguyen, Thien T. & Schmid, Lukas, 2012. "The market price of fiscal uncertainty," Journal of Monetary Economics, Elsevier, vol. 59(5), pages 401-416.
  89. Alin OPREANA & Simona VINEREAN, 2015. "Analysis of the Economic Research Context after the Outbreak of the Economic Crisis of 2007-2009," Expert Journal of Economics, Sprint Investify, vol. 3(1), pages 77-92.
  90. Demian Pouzo & Ignacio Presno, 2016. "Sovereign Default Risk and Uncertainty Premia," American Economic Journal: Macroeconomics, American Economic Association, vol. 8(3), pages 230-266, July.
  91. Lee, Sang Seok & Luk, Paul, 2018. "The Asian Financial Crisis and international reserve accumulation: A robust control approach," Journal of Economic Dynamics and Control, Elsevier, vol. 90(C), pages 284-309.
  92. Thomas Breuer & Martin Summer, 2013. "Stress Test Robustness: Recent Advances and Open Problems," Financial Stability Report, Oesterreichische Nationalbank (Austrian Central Bank), issue 25, pages 74-86.
  93. Xu, Yuan, 2015. "Robustness to model uncertainty and the nominal term premium puzzle," Journal of Macroeconomics, Elsevier, vol. 44(C), pages 124-137.
  94. Alexandru Manole & Madalina Anghel & Emilia Stanciu & Alexandru Badiu, 2016. "Analysis models for the financial risk," Romanian Statistical Review Supplement, Romanian Statistical Review, vol. 64(9), pages 73-80, September.
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