Replication data for: Long-Run Risk Is the Worst-Case Scenario
Principal Investigator(s): View help for Principal Investigator(s) Rhys Bidder; Ian Dew-Becker
Version: View help for Version V1
| Name | File Type | Size | Last Modified |
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| 20150585_data | 10/12/2019 04:24:AM | ||
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text/plain | 14.6 KB | 10/12/2019 12:24:AM |
Project Citation:
Bidder, Rhys, and Dew-Becker, Ian. Replication data for: Long-Run Risk Is the Worst-Case Scenario. Nashville, TN: American Economic Association [publisher], 2016. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2019-10-12. https://doi.org/10.3886/E113062V1
Project Description
Summary:
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We study an investor who is unsure of the dynamics of the economy. Not only are parameters unknown, but the investor does not even know what order model to estimate. She estimates her consumption process nonparametrically--allowing potentially infinite-order dynamics--and prices assets using a pessimistic model that minimizes lifetime utility subject to a constraint on statistical plausibility. The equilibrium is exactly solvable and the pricing model always includes long-run risks. With risk aversion of 4.7, the model matches major facts about asset prices, consumption, and dividends. The paper provides a novel link between ambiguity aversion and nonparametric estimation.
Scope of Project
JEL Classification:
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D11 Consumer Economics: Theory
D12 Consumer Economics: Empirical Analysis
D81 Criteria for Decision-Making under Risk and Uncertainty
G11 Portfolio Choice; Investment Decisions
G12 Asset Pricing; Trading Volume; Bond Interest Rates
D11 Consumer Economics: Theory
D12 Consumer Economics: Empirical Analysis
D81 Criteria for Decision-Making under Risk and Uncertainty
G11 Portfolio Choice; Investment Decisions
G12 Asset Pricing; Trading Volume; Bond Interest Rates
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