Recursive preferences, learning and large deviations

Chetan Dave and Kwok Ping Tsang

Economics Letters, 2014, vol. 124, issue 3, 329-334

Abstract: We estimate the relative contribution of recursive preferences versus adaptive learning in accounting for the tail thickness of price–dividends/rents ratios. We find that both of these sources of volatility account for volatility in liquid (stocks) but not illiquid (housing) assets.

Keywords: Recursive preferences; Adaptive learning; Large deviations; Fat tails; Asset prices (search for similar items in EconPapers)
JEL-codes: D80 D83 D84 (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (7)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:124:y:2014:i:3:p:329-334

DOI: 10.1016/j.econlet.2014.06.014

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