Matches in SemOpenAlex for { <https://semopenalex.org/work/W3149548869> ?p ?o ?g. }
Showing items 1 to 55 of
55
with 100 items per page.
- W3149548869 abstract "Equilibrium prices or quantities in very broad classes of models depend on iterated expectations of an autoregressive forcing variable. Examples of this dependence include that of stock prices on autoregressive dividends, that of the price level or exchange rate on an autoregressive money supply, that of consumption on autoregressive income, and that of investment on autoregressive interest rates, output demand, or technology shocks. In this paper, we show that, under learning, these iterated expectations are not a certainty equivalence. Further, we show that the certainty equivalent form of iterated expectations typically used in the literature ignores covariance terms that help explain empirical anomalies in a variety of macroeconomic models. We illustrate the consequences for two examples. In the first, a permanent-income/life-cycle model of consumption, we show that learning about an autoregressive income process can explain the widely observed negative correlation of consumption growth and current income. In the second, a present-value model of an asset price, learning about the autoregressive dividend process can help explain the empirical finding that dividend yields predict excess returns. Since, under learning, the iterated expectations terms are extremely complex, we develop a numerical (Monte Carlo) method for finding a polynomial approximation. A unique feature of our method is that we approximate the agents' subjective expectations. Therefore, in the spirit of individual learning, our method utilizes only information that is available to the agent." @default.
- W3149548869 created "2021-04-13" @default.
- W3149548869 creator A5062990141 @default.
- W3149548869 creator A5065634856 @default.
- W3149548869 date "1999-01-01" @default.
- W3149548869 modified "2023-09-23" @default.
- W3149548869 title "Learning and the Law of Iterated Projections" @default.
- W3149548869 hasPublicationYear "1999" @default.
- W3149548869 type Work @default.
- W3149548869 sameAs 3149548869 @default.
- W3149548869 citedByCount "0" @default.
- W3149548869 crossrefType "posted-content" @default.
- W3149548869 hasAuthorship W3149548869A5062990141 @default.
- W3149548869 hasAuthorship W3149548869A5065634856 @default.
- W3149548869 hasConcept C10138342 @default.
- W3149548869 hasConcept C116168712 @default.
- W3149548869 hasConcept C149782125 @default.
- W3149548869 hasConcept C159877910 @default.
- W3149548869 hasConcept C162324750 @default.
- W3149548869 hasConcept C33923547 @default.
- W3149548869 hasConcept C96016098 @default.
- W3149548869 hasConceptScore W3149548869C10138342 @default.
- W3149548869 hasConceptScore W3149548869C116168712 @default.
- W3149548869 hasConceptScore W3149548869C149782125 @default.
- W3149548869 hasConceptScore W3149548869C159877910 @default.
- W3149548869 hasConceptScore W3149548869C162324750 @default.
- W3149548869 hasConceptScore W3149548869C33923547 @default.
- W3149548869 hasConceptScore W3149548869C96016098 @default.
- W3149548869 hasLocation W31495488691 @default.
- W3149548869 hasOpenAccess W3149548869 @default.
- W3149548869 hasPrimaryLocation W31495488691 @default.
- W3149548869 hasRelatedWork W1495331906 @default.
- W3149548869 hasRelatedWork W1511467091 @default.
- W3149548869 hasRelatedWork W1511634750 @default.
- W3149548869 hasRelatedWork W1521289868 @default.
- W3149548869 hasRelatedWork W1522344765 @default.
- W3149548869 hasRelatedWork W1530379784 @default.
- W3149548869 hasRelatedWork W1550717652 @default.
- W3149548869 hasRelatedWork W1556261223 @default.
- W3149548869 hasRelatedWork W1558561942 @default.
- W3149548869 hasRelatedWork W1646232852 @default.
- W3149548869 hasRelatedWork W2021440234 @default.
- W3149548869 hasRelatedWork W2092164161 @default.
- W3149548869 hasRelatedWork W2101633363 @default.
- W3149548869 hasRelatedWork W2128807728 @default.
- W3149548869 hasRelatedWork W2161386986 @default.
- W3149548869 hasRelatedWork W2201880694 @default.
- W3149548869 hasRelatedWork W2594202232 @default.
- W3149548869 hasRelatedWork W3121362701 @default.
- W3149548869 hasRelatedWork W3123723884 @default.
- W3149548869 hasRelatedWork W3125463889 @default.
- W3149548869 isParatext "false" @default.
- W3149548869 isRetracted "false" @default.
- W3149548869 magId "3149548869" @default.
- W3149548869 workType "article" @default.