Uncertainty Shocks, Asset Supply and Pricing over the Business Cycle
构建了一个包含内生金融资产供给和模糊厌恶投资者的DSGE模型，发现金融条件不确定性上升时，企业会在风险溢价高时减少债务和股东支出，而波动率体制转换通过不确定性溢价产生与商业周期脱节的低频资产价格波动。
This paper studies a DSGE model with endogenous financial asset supply and ambiguity averse investors. An increase in uncertainty about financial conditions leads firms to substitute away from debt and reduce shareholder payout in bad times when measured risk premia are high. Regime shifts in volatility generate large low frequency movements in asset prices due to uncertainty premia that are disconnected from the business cycle. 1