Nobel Lecture: Uncertainty Outside and Inside Economic Models
2014; University of Chicago Press; Volume: 122; Issue: 5 Linguagem: Catalão
10.1086/678456
ISSN1537-534X
Autores Tópico(s)Monetary Policy and Economic Impact
ResumoNext article No AccessNobel Lecture: Uncertainty Outside and Inside Economic ModelsLars Peter HansenLars Peter HansenUniversity of Chicago Search for more articles by this author PDFPDF PLUSFull Text Add to favoritesDownload CitationTrack CitationsPermissionsReprints Share onFacebookTwitterLinkedInRedditEmail SectionsMoreDetailsFiguresReferencesCited by Journal of Political Economy Volume 122, Number 5October 2014 Article DOIhttps://doi.org/10.1086/678456 Views: 928Total views on this site Citations: 111Citations are reported from Crossref © The Nobel FoundationPDF download Crossref reports the following articles citing this article:Loïc Berger What is partial ambiguity?, Economics and Philosophy 38, no.22 (May 2021): 206–220.https://doi.org/10.1017/S0266267121000080William Lawless Toward a Physics of Interdependence for Autonomous Human-Machine Systems: The Case of the Uber Fatal Accident, 2018, Frontiers in Physics 10 (Jun 2022).https://doi.org/10.3389/fphy.2022.879171George J. Hall, Thomas J. Sargent Three world wars: Fiscal–monetary consequences, Proceedings of the National Academy of Sciences 119, no.1818 (Apr 2022).https://doi.org/10.1073/pnas.2200349119Massimo Tavoni, Giovanni Valente Uncertainty in Integrated Assessment Modeling of Climate Change, Perspectives on Science 30, no.22 (Apr 2022): 321–351.https://doi.org/10.1162/posc_a_00417William J. Luther Regulatory ambiguity in the market for bitcoin, The Review of Austrian Economics 35, no.11 (Jan 2020): 1–14.https://doi.org/10.1007/s11138-019-00489-2Belén Nieto, Gonzalo Rubio The risk aversion and uncertainty channels between finance and macroeconomics, Finance Research Letters 45 (Mar 2022): 102188.https://doi.org/10.1016/j.frl.2021.102188Lars Peter Hansen, Thomas J. Sargent Structured ambiguity and model misspecification, Journal of Economic Theory 199 (Jan 2022): 105165.https://doi.org/10.1016/j.jet.2020.105165Hamed Yousefi, Kenneth Yung Financial flexibility and economic policy uncertainty: Evidence from firm behavior and firm value, Journal of Corporate Accounting & Finance 33, no.11 (Oct 2021): 11–22.https://doi.org/10.1002/jcaf.22521Chen Qiu, Taisuke Otsu Information theoretic approach to high‐dimensional multiplicative models: Stochastic discount factor and treatment effect, Quantitative Economics 13, no.11 (Jan 2022): 63–94.https://doi.org/10.3982/QE1603Stefano Giglio, Bryan Kelly, Johannes Stroebel Climate Finance, Annual Review of Financial Economics 13, no.11 (Nov 2021): 15–36.https://doi.org/10.1146/annurev-financial-102620-103311Lars Peter Hansen Uncertainty Spillovers for Markets and Policy, Annual Review of Economics 13, no.11 (Aug 2021): 371–396.https://doi.org/10.1146/annurev-economics-082020-054645Carlo Zappia LEONARD SAVAGE, THE ELLSBERG PARADOX, AND THE DEBATE ON SUBJECTIVE PROBABILITIES: EVIDENCE FROM THE ARCHIVES, Journal of the History of Economic Thought 43, no.22 (Apr 2021): 169–192.https://doi.org/10.1017/S1053837220000152Linda Ponta, Pietro Murialdo, Anna Carbone Information measure for long-range correlated time series: Quantifying horizon dependence in financial markets, Physica A: Statistical Mechanics and its Applications 570 (May 2021): 125777.https://doi.org/10.1016/j.physa.2021.125777Claudio Tebaldi Self-Organized Criticality in Economic Fluctuations: The Age of Maturity, Frontiers in Physics 8 (Apr 2021).https://doi.org/10.3389/fphy.2020.616408Loïc Berger, Louis Eeckhoudt Risk, Ambiguity, and the Value of Diversification, Management Science 67, no.33 (Mar 2021): 1639–1647.https://doi.org/10.1287/mnsc.2020.3823Loïc Berger, Nicolas Berger, Valentina Bosetti, Itzhak Gilboa, Lars Peter Hansen, Christopher Jarvis, Massimo Marinacci, Richard D. Smith Rational policymaking during a pandemic, Proceedings of the National Academy of Sciences 118, no.44 (Jan 2021).https://doi.org/10.1073/pnas.2012704118Anisha Ghosh, Taisuke Otsu, Guillaume Roussellet Properties of Subjective Beliefs Estimators, SSRN Electronic Journal (Jan 2021).https://doi.org/10.2139/ssrn.3784757Xu Cheng, Winston Dou, Zhipeng Liao Additional Materials for Macro-Finance Decoupling: Robust Evaluations of Macro Asset Pricing Models, SSRN Electronic Journal 22 (Jan 2021).https://doi.org/10.2139/ssrn.3787125Hesham Y. Fouad, Ali K. Raz, James Llinas, William F. Lawless, Ranjeev Mittu Finding the Path Toward Design of Synergistic Human-Centric Complex Systems, (Nov 2021): 73–89.https://doi.org/10.1007/978-3-030-89385-9_5Xiaohong Chen, Lars Peter Hansen, Peter G. Hansen Robust identification of investor beliefs, Proceedings of the National Academy of Sciences 117, no.5252 (Dec 2020): 33130–33140.https://doi.org/10.1073/pnas.2019910117Roman Frydman, Morten Nyboe Tabor Rethinking the Role of the Representativeness Heuristic in Macroeconomics and Finance Theory, Institute for New Economic Thinking Working Paper Series (Dec 2020): 1–42.https://doi.org/10.36687/inetwp142Loïc Berger, Valentina Bosetti Characterizing ambiguity attitudes using model uncertainty, Journal of Economic Behavior & Organization 180 (Dec 2020): 621–637.https://doi.org/10.1016/j.jebo.2020.02.014Loïc Berger, Massimo Marinacci Model Uncertainty in Climate Change Economics: A Review and Proposed Framework for Future Research, Environmental and Resource Economics 77, no.33 (Sep 2020): 475–501.https://doi.org/10.1007/s10640-020-00503-3Jatupol Siripongvakin, Nathee Athigakunagorn Infrastructure Project Investment Decision Timing Using a Real Options Analysis Framework with Rainbow Option, ASCE-ASME Journal of Risk and Uncertainty in Engineering Systems, Part A: Civil Engineering 6, no.33 (Sep 2020).https://doi.org/10.1061/AJRUA6.0001080Roman Frydman, Nicholas Mangee, Josh Stillwagon How Market Sentiment Drives Forecasts of Stock Returns, Journal of Behavioral Finance 9 (Jun 2020): 1–17.https://doi.org/10.1080/15427560.2020.1774769Roman Frydman, Nicholas Mangee How Market Sentiment Drives Forecasts of Stock Returns, Institute for New Economic Thinking Working Paper Series (May 2020): 1–42.https://doi.org/10.36687/inetwp115Xueting Yu, Yuhan Zhu, Guangming Lv Analysis of the Impact of China's GDP Data Revision on Monetary Policy from the Perspective of Uncertainty, Emerging Markets Finance and Trade 56, no.66 (Dec 2019): 1251–1274.https://doi.org/10.1080/1540496X.2019.1695120Giovanni Angelini Bootstrap lag selection in DSGE models with expectations correction, Econometrics and Statistics 14 (Apr 2020): 38–48.https://doi.org/10.1016/j.ecosta.2017.09.002Brian Hill Dynamic consistency and ambiguity: A reappraisal, Games and Economic Behavior 120 (Mar 2020): 289–310.https://doi.org/10.1016/j.geb.2019.12.012Edouard Djeutem, Pierre Nguimkeu Robust learning in the foreign exchange market, The B.E. Journal of Macroeconomics 20, no.11 (Jan 2020).https://doi.org/10.1515/bejm-2017-0117H. Hollander, D. van Lill On the Estimation and Application of Structural Decompositions of the South African Business Cycle, (Apr 2020): 167–234.https://doi.org/10.1007/978-3-030-35754-2_7Simone Cerreia‐Vioglio, Lars Peter Hansen, Fabio Maccheroni, Massimo Marinacci Making Decisions under Model Misspecification, SSRN Electronic Journal 34 (Jan 2020).https://doi.org/10.2139/ssrn.3666424Lars Peter Hansen Uncertainty Spillovers for Markets and Policy, SSRN Electronic Journal 73 (Jan 2020).https://doi.org/10.2139/ssrn.3686167Stefano Giglio, Bryan T. Kelly, Johannes Stroebel Climate Finance, SSRN Electronic Journal (Jan 2020).https://doi.org/10.2139/ssrn.3719139Tomáš Pražák Financial Health of small and Medium-Sized Companies in the Visegrad Countries, e-Finanse 15, no.33 (Oct 2019): 56–66.https://doi.org/10.2478/fiqf-2019-0020Milo Bianchi, Jean-Marc Tallon Ambiguity Preferences and Portfolio Choices: Evidence from the Field, Management Science 65, no.44 (Apr 2019): 1486–1501.https://doi.org/10.1287/mnsc.2017.3006Faisal M. Awwal, Prasad V. Bidarkota Intrinsic Bubbles in Stock Prices Under Persistent Dividend Growth Rates, SSRN Electronic Journal (Jan 2019).https://doi.org/10.2139/ssrn.3320234Roman Frydman, Soren Johansen, Anders Rahbek, Morten Tabor The Knightian Uncertainty Hypothesis: Unforeseeable Change and Muth's Consistency Constraint in Modeling Aggregate Outcomes, SSRN Electronic Journal (Jan 2019).https://doi.org/10.2139/ssrn.3346766William J. Luther Regulatory Ambiguity in the Market for Bitcoin, SSRN Electronic Journal (Jan 2019).https://doi.org/10.2139/ssrn.3352894Daniel Andrei, Michael Hasler, Alexandre Jeanneret Asset Pricing with Persistence Risk, The Review of Financial Studies 43 (Nov 2018).https://doi.org/10.1093/rfs/hhy121Carlo Zappia Rationality under uncertainty: classic and current criticisms of the Bayesian viewpoint, The European Journal of the History of Economic Thought 25, no.66 (Feb 2019): 1387–1419.https://doi.org/10.1080/09672567.2018.1523210Lars Peter Hansen Comment, NBER Macroeconomics Annual 32 (May 2018): 479–489.https://doi.org/10.1086/696063Stefano Giglio, Bryan Kelly Excess Volatility: Beyond Discount Rates*, The Quarterly Journal of Economics 133, no.11 (Aug 2017): 71–127.https://doi.org/10.1093/qje/qjx034Sergiy Verstyuk Ignorance and Indifference: Decision-Making in the Lab and in the Market, SSRN Electronic Journal (Jan 2018).https://doi.org/10.2139/ssrn.3118395Sergiy Verstyuk Log, Stock and Two Simple Lotteries, SSRN Electronic Journal (Jan 2018).https://doi.org/10.2139/ssrn.3120047Ilke Aydogan, Loïc Berger, Valentina Bosetti, Ning Liu Three Layers of Uncertainty: An Experiment, SSRN Electronic Journal (Jan 2018).https://doi.org/10.2139/ssrn.3209174Lars Peter Hansen, Thomas J. Sargent Structured Uncertainty and Model Misspecification, SSRN Electronic Journal (Jan 2018).https://doi.org/10.2139/ssrn.3280597Ufuk Akcigit Economic Growth: The Past, the Present, and the Future, Journal of Political Economy 125, no.66 (Dec 2017): 1736–1747.https://doi.org/10.1086/694617Fernando Alvarez Monetary Economics, Journal of Political Economy 125, no.66 (Dec 2017): 1825–1830.https://doi.org/10.1086/694619Stephane Bonhomme and Azeem M. Shaikh Keeping the ECON in Econometrics: (Micro-)Econometrics in the Journal of Political Economy, Journal of Political Economy 125, no.66 (Dec 2017): 1846–1853.https://doi.org/10.1086/694620George M. Constantinides Asset Pricing: Models and Empirical Evidence, Journal of Political Economy 125, no.66 (Dec 2017): 1782–1790.https://doi.org/10.1086/694621Douglas W. Diamond, Anil K. Kashyap, and Raghuram G. Rajan Banking and the Evolving Objectives of Bank Regulation, Journal of Political Economy 125, no.66 (Dec 2017): 1812–1825.https://doi.org/10.1086/694622Eugene F. Fama Finance at the University of Chicago, Journal of Political Economy 125, no.66 (Dec 2017): 1790–1799.https://doi.org/10.1086/694623David W. Galenson Economic History, Journal of Political Economy 125, no.66 (Dec 2017): 1747–1752.https://doi.org/10.1086/694624Lars Peter Hansen Time-Series Econometrics in Macroeconomics and Finance, Journal of Political Economy 125, no.66 (Dec 2017): 1774–1782.https://doi.org/10.1086/694625James J. Heckman Chicago Labor Economics, Journal of Political Economy 125, no.66 (Dec 2017): 1840–1845.https://doi.org/10.1086/694626Ali Hortaçsu Auctions in the Journal of Political Economy, 1894–2017, Journal of Political Economy 125, no.66 (Dec 2017): 1915–1920.https://doi.org/10.1086/694627Emir Kamenica Information Economics, Journal of Political Economy 125, no.66 (Dec 2017): 1885–1890.https://doi.org/10.1086/694628Greg Kaplan Inequality, Heterogeneity, and Consumption in the Journal of Political Economy, Journal of Political Economy 125, no.66 (Dec 2017): 1767–1774.https://doi.org/10.1086/694629Steven D. Levitt The Economics of Crime, Journal of Political Economy 125, no.66 (Dec 2017): 1920–1925.https://doi.org/10.1086/694630John List Experimental Economics in the Journal of Political Economy, Journal of Political Economy 125, no.66 (Dec 2017): 1925–1930.https://doi.org/10.1086/694631Robert E. Lucas Jr. Memories of Friedman and Patinkin, Journal of Political Economy 125, no.66 (Dec 2017): 1831–1834.https://doi.org/10.1086/694632Magne Mogstad The Human Capital Approach to Intergenerational Mobility, Journal of Political Economy 125, no.66 (Dec 2017): 1862–1868.https://doi.org/10.1086/694633Roger Myerson Political Economics in the Journal of Political Economy: Six Landmark Papers, Journal of Political Economy 125, no.66 (Dec 2017): 1752–1756.https://doi.org/10.1086/694634Canice Prendergast Agency Issues, Journal of Political Economy 125, no.66 (Dec 2017): 1878–1884.https://doi.org/10.1086/694635Philip J. Reny Assignment Problems, Journal of Political Economy 125, no.66 (Dec 2017): 1903–1914.https://doi.org/10.1086/694636Robert Shimer Labor Markets, Journal of Political Economy 125, no.66 (Dec 2017): 1834–1840.https://doi.org/10.1086/694637Hugo F. Sonnenschein Chicago and the Origins of Modern General Equilibrium, Journal of Political Economy 125, no.66 (Dec 2017): 1728–1736.https://doi.org/10.1086/694638Nancy L. Stokey Aggregative Fiscal Policy, Journal of Political Economy 125, no.66 (Dec 2017): 1756–1761.https://doi.org/10.1086/694639Richard H. Thaler Behavioral Economics, Journal of Political Economy 125, no.66 (Dec 2017): 1799–1805.https://doi.org/10.1086/694640Robert H. Topel Health Economics: A Selective Historical Review for the 125th Anniversary of the Journal of Political Economy, Journal of Political Economy 125, no.66 (Dec 2017): 1868–1878.https://doi.org/10.1086/694641Harald Uhlig Business Cycles and International Trade, Journal of Political Economy 125, no.66 (Dec 2017): 1761–1766.https://doi.org/10.1086/694642Robert Vishny and Luigi Zingales Corporate Finance, Journal of Political Economy 125, no.66 (Dec 2017): 1805–1812.https://doi.org/10.1086/694643Michael Greenstone The Continuing Impact of Sherwin Rosen's "Hedonic Prices and Implicit Markets: Product Differentiation in Pure Competition", Journal of Political Economy 125, no.66 (Dec 2017): 1891–1902.https://doi.org/10.1086/694645Derek Neal Life Cycle Wage Dynamics and Labor Mobility, Journal of Political Economy 125, no.66 (Dec 2017): 1853–1862.https://doi.org/10.1086/694690John List and Harald Uhlig Introduction, Journal of Political Economy 125, no.66 (Dec 2017): 1723–1727.https://doi.org/10.1086/694751Chetan Dave, Samreen Malik A tale of fat tails, European Economic Review 100 (Nov 2017): 293–317.https://doi.org/10.1016/j.euroecorev.2017.08.010Wenge Zhu Wanting robustness in insurance: A model of catastrophe risk pricing and its empirical test, Insurance: Mathematics and Economics 77 (Nov 2017): 14–23.https://doi.org/10.1016/j.insmatheco.2017.08.006In-Koo Cho, Kenneth Kasa Gresham's Law of Model Averaging, American Economic Review 107, no.1111 (Nov 2017): 3589–3616.https://doi.org/10.1257/aer.20160665Hykel Hosni R for Risk, Lettera Matematica 5, no.22 (Jun 2017): 173–178.https://doi.org/10.1007/s40329-017-0179-zJohn H Cochrane Macro-Finance*, Review of Finance 21, no.33 (Mar 2017): 945–985.https://doi.org/10.1093/rof/rfx010Xianming Sun, Michèle Vanmaele Uncertainty Quantification of Derivative Instruments, East Asian Journal on Applied Mathematics 7, no.22 (May 2017): 343–362.https://doi.org/10.4208/eajam.100316.270117aKAZUTO SASAI, YUKIO-PEGIO GUNJI, TETSUO KINOSHITA INTERMITTENT BEHAVIOR INDUCED BY ASYNCHRONOUS INTERACTIONS IN A CONTINUOUS DOUBLE AUCTION MODEL, Advances in Complex Systems 20, no.02n0302n03 (Mar 2017): 1750005.https://doi.org/10.1142/S0219525917500059Anisha Ghosh, Christian Julliard, Alex P. Taylor What Is the Consumption-CAPM Missing? An Information-Theoretic Framework for the Analysis of Asset Pricing Models, Review of Financial Studies 30, no.22 (Oct 2016): 442–504.https://doi.org/10.1093/rfs/hhw075Hykel Hosni , Lettera Matematica Pristem 100, no.11 ( 2017): 94.https://doi.org/10.1007/s10031-017-0019-5Yingyao Hu, Matthew Shum, Wei Tan, Ruli Xiao A Simple Estimator for Dynamic Models with Serially Correlated Unobservables, Journal of Econometric Methods 6, no.11 (Jan 2017).https://doi.org/10.1515/jem-2015-0011In-Koo Cho, Kenneth Kasa Model Averaging and Persistent Disagreement, Review 99, no.33 (Jan 2017): 279–294.https://doi.org/10.20955/r.2017.279-294Roman Frydman, Soren Johansen, Anders Rahbek, Morten Nyboe Tabor The Qualitative Expectations Hypothesis: Model Ambiguity, Consistent Representations of Market Forecasts, and Sentiment, SSRN Electronic Journal (Jan 2017).https://doi.org/10.2139/ssrn.2995140William A. Brock, Lars Peter Hansen Wrestling with Uncertainty in Climate Economic Models, SSRN Electronic Journal (Jan 2017).https://doi.org/10.2139/ssrn.3008833Alessia Paccagnini Dealing with Misspecification in DSGE Models: A Survey, SSRN Electronic Journal (Jan 2017).https://doi.org/10.2139/ssrn.3083615JAROSLAV BOROVIČKA, LARS PETER HANSEN, JOSÉ A. SCHEINKMAN Misspecified Recovery, The Journal of Finance 71, no.66 (Nov 2016): 2493–2544.https://doi.org/10.1111/jofi.12404Lars Peter Hansen, Massimo Marinacci Ambiguity Aversion and Model Misspecification: An Economic Perspective, Statistical Science 31, no.44 (Nov 2016).https://doi.org/10.1214/16-STS570James Watson, Chris Holmes Rejoinder: Approximate Models and Robust Decisions, Statistical Science 31, no.44 (Nov 2016).https://doi.org/10.1214/16-STS596Xiaohong Chen, Yin Jia Jeff Qiu Methods for Nonparametric and Semiparametric Regressions with Endogeneity: A Gentle Guide, Annual Review of Economics 8, no.11 (Oct 2016): 259–290.https://doi.org/10.1146/annurev-economics-080213-041155Giovanni Angelini, Luca Fanelli Misspecification and Expectations Correction in New Keynesian DSGE Models, Oxford Bulletin of Economics and Statistics 78, no.55 (Jan 2016): 623–649.https://doi.org/10.1111/obes.12126 Matthew E. Kahn The Climate Change Adaptation Literature, Review of Environmental Economics and Policy 10, no.11 (Sep 2020): 166–178.https://doi.org/10.1093/reep/rev023Xiaohong Chen, Yin Jia Jeff Qiu Methods for Nonparametric and Semiparametric Regressions with Endogeneity: A Gentle Guide, SSRN Electronic Journal (Jan 2016).https://doi.org/10.2139/ssrn.2756199Sergiy Verstyuk Log, Stock and Two Simple Lotteries, SSRN Electronic Journal (Jan 2016).https://doi.org/10.2139/ssrn.2763959Jaroslav Boroviika, Lars Peter Hansen Term Structure of Uncertainty in the Macroeconomy, SSRN Electronic Journal (Jan 2016).https://doi.org/10.2139/ssrn.2791881Giovanni Angelini, Giuseppe Cavaliere, Luca Fanelli Bootstrapping DSGE Models, SSRN Electronic Journal (Jan 2016).https://doi.org/10.2139/ssrn.2854114Harjoat Singh Bhamra, Raman Uppal Do Individual Behavioral Biases Affect Financial Markets and the Macroeconomy?, SSRN Electronic Journal (Jan 2016).https://doi.org/10.2139/ssrn.2893013J. Borovička, L.P. Hansen Term Structure of Uncertainty in the Macroeconomy, (Jan 2016): 1641–1696.https://doi.org/10.1016/bs.hesmac.2016.06.005Massimo Marinacci MODEL UNCERTAINTY, Journal of the European Economic Association 13, no.66 (Nov 2015): 1022–1100.https://doi.org/10.1111/jeea.12164Keshab Bhattarai Financial Deepening and Economic Growth in Advanced and Emerging Economies, Review of Development Economics 19, no.11 (Jan 2015): 178–195.https://doi.org/10.1111/rode.12133Stefano Giglio, Bryan T. Kelly Excess Volatility: Beyond Discount Rates, SSRN Electronic Journal (Jan 2015).https://doi.org/10.2139/ssrn.2574082Xianming Sun, Michhle Vanmaele Uncertainty Quantification of Derivative Instruments, SSRN Electronic Journal (Jan 2015).https://doi.org/10.2139/ssrn.2576414Jaroslav Boroviika, Lars Peter Hansen, Jose A. Scheinkman Misspecified Recovery, SSRN Electronic Journal (Jan 2015).https://doi.org/10.2139/ssrn.2636416Yingyao Hu, Matthew Shum, Wei Tan, Ruli Xiao A Simple Estimator for Dynamic Models with Serially Correlated Unobservables, SSRN Electronic Journal (Jan 2015).https://doi.org/10.2139/ssrn.2666737Jaroslav Boroviika, Lars Peter Hansen, Jose A. Scheinkman Misspecified Recovery, SSRN Electronic Journal (Jan 2014).https://doi.org/10.2139/ssrn.2443448Brian Hill Dynamic Consistency and Ambiguity : A Reappraisal, SSRN Electronic Journal (Jan 2013).https://doi.org/10.2139/ssrn.2268373Hui Chen, Winston Wei Dou, Leonid Kogan Measuring the 'Dark Matter' in Asset Pricing Models, SSRN Electronic Journal (Jan 2013).https://doi.org/10.2139/ssrn.2326753
Referência(s)