Model Misspecification, the Equilibrium Natural Interest Rate, and the Equity Premium
在一个非线性模型中分析自然利率和股权溢价，发现模型不确定性（尤其是货币政策不确定性）会引发预防性储蓄动机，影响自然利率的估计和政策使用，并放大股权溢价及其与通胀的正相关关系。
This paper analyzes the natural rate of interest and the equity premium in a nonlinear model where agents are uncertain over both future technology growth and the future course of monetary policy. I show that model uncertainty, and notably uncertainty on the future course of monetary policy, can give rise to a sizable precautionary savings motive. This result is potentially problematic for both the estimation of the natural rate and its use as a policy indicator. Monetary uncertainty can also contribute to amplify the equity premium, and to account for its apparent, positive link with inflation.