Working Paper: NBER ID: w20394
Authors: Lars Peter Hansen
Abstract: We must infer what the future situation would be without our interference, and what changes will be wrought by our actions. Fortunately, or unfortunately, none of these processes is infallible, or indeed ever accurate and complete. Knight (1921)
Keywords: uncertainty; economic models; asset pricing; risk premia
JEL Codes: D84; G00; G12
Edges that are evidenced by causal inference methods are in orange, and the rest are in light blue.
| Cause | Effect |
|---|---|
| macroeconomic uncertainty (D89) | financial market behavior (G40) |
| macroeconomic shocks (F41) | asset returns (G19) |
| asset returns (G19) | risk premia (G22) |
| macroeconomic uncertainty (D89) | risk premia (G22) |
| model misspecification (C52) | extreme risk aversion behavior (D81) |