Finance Seminar with Lars Lochstoer, Columbia University
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
Pierre Collin-Dufresne, Michael Johannes, and Lars A. Lochstoer, Columbia Business School
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