Macroeconomic uncertainty prices when beliefs are tenuous
研究了投资者面临模型模糊和误设两种不确定性时，这些不确定性如何影响风险均衡价格，并用定量例子说明对增长率大小和持续性的担忧如何导致不确定性市场价格的时间变化。
Investors face uncertainty over models when they do not know which member of a set of well-defined "structured models" is best. They face uncertainty about models when they suspect that all of the structured models might be misspecified. We refer to worries about the first type of ignorance as ambiguity concerns and worries about the second type as misspecification concerns. These two types of ignorance about probability distributions of risks add what we call uncertainty components to equilibrium prices of those risks. A quantitative example highlights a representative investor's uncertainties about the size and persistence of macroeconomic growth rates. Our model of preferences under concerns about model ambiguity and misspecification puts nonlinearities into marginal valuations that induce time variations in market prices of uncertainty. These reflect the representative investor's fears of high persistence of low growth rate states and low persistence of high growth rate states.