Recursive preferences, learning and large deviations

被引：4
|
作者：
Dave, Chetan [1 ]
Tsang, Kwok Ping [2 ]
机构：
[1] New York Univ Abu Dhabi, New York, NY 10276 USA
[2] Virginia Tech, Dept Econ, Blacksburg, VA 24061 USA
来源：
ECONOMICS LETTERS | 2014年 / 124卷 / 03期
关键词：
Recursive preferences; Adaptive learning; Large deviations; Fat tails; Asset prices; TEMPORAL BEHAVIOR; ASSET RETURNS; RISK-AVERSION; SUBSTITUTION; CONSUMPTION;
D O I：
10.1016/j.econlet.2014.06.014
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
We estimate the relative contribution of recursive preferences versus adaptive learning in accounting for the tail thickness of price-dividends/rents ratios. We find that both of these sources of volatility account for volatility in liquid (stocks) but not illiquid (housing) assets. (C) 2014 Elsevier B.V. All rights reserved.
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页码：329 / 334
页数：6
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