主旨题目-1：Smooth Ambiguity,Learning and Asset Prices in a Model with Heterogeneous Agents

主旨题目-2：英文期刊投稿评审意见处理交流指导

报告人：刘赫宁（英国曼彻斯特大学，教授）

时 间：2023年12月29日（周五）下午16:00

#腾讯会议：870-373-552

线下地点：모바일 슬롯 머신 게임B419

主旨报告人简介：

刘赫宁，男，英国曼彻斯特大学Alliance商学院金融学讲席教授，主要研究领域包括资产定价，宏观金融，投资组合，金融计量。成果发表于Review of Financial Studies,Journal of Monetary Economics, Journal of Econometrics,Journal of Financial and Quantitative Analysis,Management Science等金融经济学顶尖期刊，并担任America Economic Review、Journal of Political Economy、 Review of Financial Studies、 Management Science、 Journal of Financial and Quantitative Analysis等期刊审稿人，同时担任Economic Modelling期刊副主编。

报告简介：

We study a class of heterogeneous-agent endowment economies with long run risks in which the persistent component in the aggregate consumption growth process is unobservable. Agents holding different beliefs regarding the persistent component engage in Bayesian learning. Agents are averse to uncertainty arising from state estimation and have generalized recursive smooth ambiguity preferences. By examining a two-agent model with an elasticity of intertemporal substitution above 1 and reasonable risk aversion, we find that: 1) under recursive preferences without ambiguity aversion, the consumption share of the agent with the correct belief dominates in the long run, 2)smooth ambiguity, in conjunction with state uncertainty, generates uncertainty sharing motive that leads to long-run survival of both agents, and 3) the time-varying welfare weights of agents and their posterior beliefs well explain the time variation of price-dividend ratios in the data. We also examine long-run survival outcomes for alternative values of preference parameters as well as the case in which agents differ in their degrees of ambiguity aversion.

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主办单位：

                                모바일 슬롯 머신 게임金融学系

中国矿业大学应用经济学科

中国矿业大学绿色金融研究中心

中国矿业大学新金融教学研究团队

2023年12月26日