Asset prices in a labor search model with confidence shocks

DOI10.1016/J.JEDC.2022.104564MaRDI QIDQ6106629zbMATH OpenOpenAlexFDO

Authors Pavel Krivenko

Publication date 3 July 2023

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jedc.2022.104564

zbMATH Keywords

ambiguitybusiness cyclestock marketequity premiumlabor search

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Labor markets (91B39)

Recommendations

• Ambiguity, learning, and asset returns
• Ambiguity and the historical equity premium
• Asset prices in an ambiguous economy
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Cites work

• A theoretical foundation of ambiguity measurement
• Labor market search, endogenous disasters and the equity premium puzzle
• On booms that never bust: ambiguity in experimental asset markets with bubbles
• Recursive multiple-priors.
• Rounding probabilistic expectations in surveys

Cited in

(1)

• Uncertainty shocks, asset supply and pricing over the business cycle

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