Trendy Business Cycles and Asset Prices
研究了生产率冲击中趋势与周期成分的不可区分性如何导致理性混淆，使暂时冲击成为长期风险的主要来源，并解释了股权溢价为正、投资和估值比率顺周期的现象。
Abstract The data-generating process underlying productivity includes both trend and business cycle shocks, generating counterfactuals for prices under full information. In practice, agents’ inability to immediately distinguish between the two shocks creates “rational confusion”: each shock inherits properties of its counterpart. This confusion magnifies the perceived share of permanent shocks and implies that, contrary to canonical frameworks, transitory shocks are the main driver of long-run risk through trendy business cycles. With learning, the equity premium turns positive, while investment and valuation ratios become procyclical, as in the data. Consequently, rational confusion is key for reconciling disciplined macro-dynamics with equilibrium Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.