Biased Bayesian learning and the risk-free rate puzzle


Ludwig, Alexander ; Zimper, Alexander


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URL: https://ub-madoc.bib.uni-mannheim.de/2489
URN: urn:nbn:de:bsz:180-madoc-24890
Document Type: Working paper
Year of publication: 2009
Place of publication: Mannheim
Publication language: English
Institution: Außerfakultäre Einrichtungen > Mannheim Research Institute for the Economics of Aging (MEA) (- 6/2011) (Börsch-Supan) (Börsch-Supan)
MADOC publication series: Veröffentlichungen des MEA (Mannheim Research Institute For the Economics of Aging) > MEA Discussion Papers
Subject: 330 Economics
Classification: JEL: D83 C79 ,
Subject headings (SWD): Bayes-Lernen , Risikoprämie , Makroökonomie
Keywords (English): behavioral macroeconomics , bounded rationality , consumption based asset pricing , risk-free rate puzzle , ambiguity , Bayesian lerning
Abstract: According to the risk-free rate puzzle the return on safe assests is much lower than predicted by standard representative agent models of consumption based asset pricing. Based on non-additive probability measures arising in Choquet decision theory we develop a closed-form model of Bayesian learning in which the Choquet estimator of the mean consumption growth rate does not converge to its "true" value. It rather expresses a bias that reflects the agents ambiguity about his estimator. We calibrate the standard equilibrium conditions of the consumption based asset pricing model th demonstrate that our approach contributes to a resolution of the risk-free rate puzzle when the agent´s learning process exhibits a moderate degree of ambiguity that is resolved in a pessimistic way.
Additional information:

Dieser Eintrag ist Teil der Universitätsbibliographie.

Das Dokument wird vom Publikationsserver der Universitätsbibliothek Mannheim bereitgestellt.




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Ludwig, Alexander ; Zimper, Alexander (2009) Biased Bayesian learning and the risk-free rate puzzle. Open Access Mannheim [Working paper]
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