Robustness, Intertemporal Hedging Demands, and Precautionary Savings in a Partially Observable Economy


Grant Data
Project Title
Robustness, Intertemporal Hedging Demands, and Precautionary Savings in a Partially Observable Economy
Principal Investigator
Dr Luo, Yulei   (Principal investigator)
Co-Investigator(s)
Professor Young Eric   (Co-Investigator)
Duration
24
Start Date
2015-12-01
Completion Date
2017-11-30
Amount
165000
Conference Title
Presentation Title
Keywords
Robustness, Entrepreneurial Risk, Fiscal Policy, Wealth Distribution
Discipline
Economics
Panel
Business Studies (B) (under H Panel before 2011/12)
Sponsor
RGC General Research Fund (GRF)
HKU Project Code
17500515
Grant Type
General Research Fund (GRF)
Funding Year
2015/2016
Status
On-going
Objectives
2) To solve the model explicitly and explore the relative importance of model uncertainty, parameter uncertainty, risk aversion, and intertemporal substitution in determining the equilibrium portfolio choice, asset returns, precautionary savings, and welfare. 3) To use the detection error probability method and the finite capacity method to calibrate the empirically plausible amount of model and parameter uncertainty, respectively, using the U.S. asset market and macroeconomic data. 4) To extend our benchmark model to consider the regime-switching case in which the expected return of the risky asset depends on an unobservable regime variable of the economy.