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Author: Klaus Adam
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We study a standard consumption based asset pricing model with rationally investing agents but allow agents? prior beliefs about price and dividend behavior to deviate slightly from rational expectations priors. Learning...Read more...
Klaus Adam, Albert Marcet and Juan Pablo Nicolini
19 September 2011
We present a decision theoretic framework in which agents are learning about market behavior and that provides microfoundations for models of adaptive learning. Agents are `internally rational?, i.e., maximize discounted...Read more...
Klaus Adam and Albert Marcet
12 August 2011
A simple open economy asset pricing model can account for the house price and current account dynamics in the G7 over the years 2001-2008. The model features rational households, but assumes that households entertain sub...Read more...
Klaus Adam, Pei Kuang and Albert Marcet
21 July 2011
We show how low-frequency boom and bust cycles in asset prices can emerge from Bayesian learning by investors. Investors rationally maximize infinite horizon utility but hold subjective priors about the asset return proc...Read more...
July 2011