Ｌ．Ｐ．ハンセン＆Ｔ．Ｊ．サージェント（共）著／経済モデルにおける不確実性 Uncertainty within Economic Models (World Scientific Series in Economic Theory)

Hansen, Lars Peter/ Sargent, Thomas J

World Scientific Publishing Co Pte Ltd（2014/11発売）

• 製本 Hardcover:ハードカバー版／ページ数 484 p.
• 言語 ENG
• 商品コード 9789814578110
• DDC分類 330.015195

Full Description

Written by Lars Peter Hansen (Nobel Laureate in Economics, 2013) and Thomas Sargent (Nobel Laureate in Economics, 2011), Uncertainty within Economic Models includes articles adapting and applying robust control theory to problems in economics and finance. This book extends rational expectations models by including agents who doubt their models and adopt precautionary decisions designed to protect themselves from adverse consequences of model misspecification. This behavior has consequences for what are ordinarily interpreted as market prices of risk, but big parts of which should actually be interpreted as market prices of model uncertainty. The chapters discuss ways of calibrating agents' fears of model misspecification in quantitative contexts.

Contents

Introduction; Discounted Exponential Quadratic Gaussian Control; Robust Permanent Income and Pricing; A Quartet of Semigroups for Model Specification, Robustness, Prices of Risk, and Model Detection; Robust Control and Model Uncertainty; Robust Control and Model Misspecification; Doubts or Variability?; Robust Estimation and Control without Commitment; Fragile Beliefs and the Price of Uncertainty; Beliefs, Doubts and Learning: Valuing Macroeconomic Risk; Three Types of Ambiguity.