"1"^^ . . "finance asset pricing equilibrium prices securities Epstein-Zin preferences nonlinear Bayesian filtering Wonham filter business cycles long-run risk Monte Carlo Simulation high-performance computing"@en . "0"^^ . . . "2011-01-01+01:00"^^ . "GAP403/11/2288" . . . . . "2013-12-31+01:00"^^ . "2013-06-07+02:00"^^ . . "I evaluate a novel DSGE finance model of asset prices which synthesizes the notion of long-run risk with the Bayesian learning asset pricing literature. The proposed framework is novel, expected to be rich in implications, but technically challenging. It features business-cycle and long-run shocks to the expected consumption and dividend growth rates at the same time. Thus, investors tend to confound these highly persistent (long-run) shocks with their relatively short-lived (business-cycle) counterparts. This is completely missing in the standard Bayesian asset pricing literature as there is only one shock. I expect this difficult filtering to be able to dramatically amplify the variation in asset prices while still allowing to match their first and second unconditional moments. The reason is that even a relatively minor belief that the upcoming decline in economic activity has potentially much larger duration (think of Japan\u2019s lost decade), is going to have a significant impact on equilibrium asset values."@en . . "Zkoum\u00E1m modern\u00ED DSGE finan\u010Dn\u00ED model cen cenn\u00FDch pap\u00EDr\u016F. Jeho j\u00E1dro tkv\u00ED v synt\u00E9ze konceptu dlouhodob\u00E9ho rizika s Bayesi\u00E1nskou literaturou oce\u0148ov\u00E1n\u00ED aktiv. O\u010Dek\u00E1v\u00E1 se, \u017Ee navrhovan\u00FD model bude m\u00EDt potencion\u00E1ln\u011B bohat\u00E9 implikace,\u00A0i kdy\u017E bude technicky n\u00E1ro\u010Dn\u00FD na vy\u0159e\u0161en\u00ED. V modelu figuruj\u00ED \u0161oky do o\u010Dek\u00E1van\u00E9ho r\u016Fstu spot\u0159eby a dividend, a to na frekvenci hospod\u00E1\u0159sk\u00E9ho cyklu a frekvenci dlouhodob\u00E9 sou\u010Dasn\u00E9. Investo\u0159i si tud\u00ED\u017E pletou \u0161oky na byznys frekvenci se \u0161oky na frekvenci dlouhodob\u00E9. Tento mechanismus samotn\u00FD chyb\u00ED ve v\u00FD\u0161e uveden\u00E9 Bayesi\u00E1nske literatu\u0159e, proto\u017Ee v t\u011Bchto modelech je \u0161ok jenom jeden. O\u010Dek\u00E1v\u00E1m, \u017Ee toto t\u011B\u017Ek\u00E9 filtrov\u00E1n\u00ED pr\u016Fm\u011Brn\u00E9 trvalosti aktu\u00E1ln\u00EDho stavu r\u016Fstu makroekonomie dramaticky zes\u00EDl\u00ED \u010Dasovou variac\u00ED v cen\u00E1ch akci\u00ED a v\u00FDnosech dluhopis\u016F a sou\u010Dasn\u011B umo\u017En\u00ED fitovat prvn\u00ED a druh\u00E9 nepodm\u00EDn\u011Bn\u00E9 momenty. D\u016Fvodem je, \u017Ee i relativn\u011B mal\u00E1 posteriorn\u00ED pravd\u011Bpodobnost, \u017Ee p\u0159ich\u00E1zej\u00EDc\u00ED pokles ekonomick\u00E9 aktivity bude potencion\u00E1ln\u011B trvat mnohem d\u00E9le, \u0159ekn\u011Bme n\u011Bkolik let (nap\u0159\u00EDklad ztracen\u00E1 dek\u00E1da v Japonsku v 90. letech), m\u00E1 signifikantn\u00ED dopad na rovnov\u00E1\u017En\u00E9 ceny cenn\u00FDch pap\u00EDr\u016F." . "V\u00FDsledkem projektu je model dlouhodob\u00E9ho rizika s ne\u00FAplnou informac\u00ED pro anal\u00FDzy dynamick\u00FDch jev\u016F cen aktiv. Z\u00E1v\u011Bre\u010Dn\u00E1 karta je a\u017E p\u0159\u00EDli\u0161 rozs\u00E1hl\u00E1, obsahuje ale v\u0161echny po\u017Eadovan\u00E9 informace. Potenci\u00E1ln\u00ED vyu\u017Eit\u00ED v\u00FDsledk\u016F projektu je z\u0159ejm\u00E9. Publika\u010Dn\u00ED v\u00FDstupy nenapl\u0148uj\u00ED zcela to, co bylo deklarov\u00E1no v n\u00E1vrhu projektu. Finan\u010Dn\u00ED hospoda\u0159en\u00ED projektu je bez z\u00E1vad."@cs . . "2014-07-01+02:00"^^ . . "Ceny cenn\u00FDch pap\u00EDr\u016F, Bayesi\u00E1nsk\u00E9 u\u010Den\u00ED a dlouhodob\u00E9 riziko" . "Main output of the project is a long-term risk model with incomplete information for analysis of asset price dynamics. Final sheet of the project is quite extensive but contains all required information. Use of project results is apparent. Publication outputs do not satisfy in full what was declared in the project proposal. The use of project funds is without any objections."@en . . . . "Asset Prices, Bayesian Learning and Long-Run Risk"@en . "1"^^ . . "http://www.isvav.cz/projectDetail.do?rowId=GAP403/11/2288"^^ . . . "1"^^ . . . . "0"^^ .