Macroeconomic uncertainty prices when beliefs are tenuous

DOI10.1016/J.JECONOM.2019.11.010zbMATH Open1471.91307OpenAlexW2594228790MaRDI QIDQ2024481FDOQ2024481

Authors: Lars Peter Hansen, Thomas J. Sargent 

Publication date: 4 May 2021

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2019.11.010

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zbMATH Keywords

robustnessmodel uncertaintyriskasset pricesrelative and Chernoff entropy

Mathematics Subject Classification ID

Utility theory (91B16) Economic growth models (91B62) Optimal stochastic control (93E20)

Cites Work

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Cited In (6)

• Fragile beliefs and the price of uncertainty
• Twisted probabilities, uncertainty, and prices
• Estimating robustness
• The macro and asset pricing implications of rising Italian uncertainty: evidence from a novel news-based macroeconomic policy uncertainty index
• Structured ambiguity and model misspecification
• Price expectations and cobwebs under uncertainty

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