Errors in survey expectations display waves of pessimism and optimism. This paper develops a novel theoretical framework of time-varying beliefs capturing this fact. In our model, dynamic beliefs arise endogenously due to agents’ attitude towards alternative models. Decision-maker’s distorted beliefs generate countercyclical risk aversion, procyclical portfolio weights, and countercyclical equilibrium asset returns. A calibrated version of our model is shown to jointly match salient features in survey data and equity markets.

中文翻译：

---

稳健性和动态情绪


调查预期的错误显示出悲观和乐观的浪潮。本文开发了一种新的时变信念理论框架来捕捉这一事实。在我们的模型中，动态信念是由于代理人对替代模型的态度而内生产生的。决策者的扭曲信念会产生反周期风险厌恶、顺周期投资组合权重和反周期均衡资产回报。我们模型的校准版本被证明可以共同匹配调查数据和股票市场中的显着特征。