Can Bayesian Learning Explain The Low Short-Term Interest Rates?
نویسنده
چکیده
Parameter uncertainty has recently been proposed as a viable candidate to reconsile various asset pricing puzzles that have arisen in the asset pricing literature. Focusing on the risk-free rate puzzle, I show through a simulation study that Bayesian learning about parameter uncertainty has a limited role in explaining the low historical short-term interest rates.
منابع مشابه
Learning and the Long Rate
In this paper we seek to explain the behavior of the long term interest rate in the U.S. over the last 50 years using the idea that investors had only limited information about the process generating short term interest rates. Investors are assumed to behave according to the expectations hypothesis of the term structure but use econometric methods to learn about the appropriate model for short ...
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