Ambiguity, Low Risk-Free Rates and Consumption Inequality
构建连续时间一般均衡模型，研究对模型误设的担忧如何降低均衡利率和消费不平等，并量化模型不确定性的福利成本，对理解大衰退有参考价值。
Abstract Macroeconomists failed to predict the Great Recession, suggesting that the existing macroeconomic models may have been misspecified. Bearing in mind this potential misspecification or ‘model uncertainty’, how do agents’ optimal decisions change? Furthermore, how large are the welfare costs of model misspecification? To shed light on these questions, we develop a tractable continuous-time general equilibrium model to show that a fear of model misspecification reduces both the equilibrium interest rate and the relative inequality of consumption to income, making the model’s predictions closer to the data. Our quantitative analysis shows that the welfare costs of model uncertainty are sizable.