کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
986840 1480811 2014 16 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Learning, large deviations and rare events
ترجمه فارسی عنوان
یادگیری، انحرافات بزرگ و حوادث نادر است
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
چکیده انگلیسی

We examine the role of generalized stochastic gradient constant gain (SGCG) learning in generating large deviations of an endogenous variable from its rational expectations value. We show analytically that these large deviations can occur with a frequency associated with a fat-tailed distribution even though the model is driven by thin-tailed exogenous stochastic processes. We characterize these large deviations, driven by sequences of consistently low or consistently high shocks and then apply our model to the canonical asset pricing framework. We demonstrate that the tails of the stationary distribution of the price–dividend ratio will follow a power law.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Review of Economic Dynamics - Volume 17, Issue 3, July 2014, Pages 367–382
نویسندگان
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