تعادل عمومی مقاوم در مدل نوسانات تصادفی

This paper studies the implications of model uncertainty under stochastic volatility model for equilibrium asset pricing. We derive the equilibrium equity premium and risk-free rate in a pure-exchange economy with one representative agent who is averse not only to risk but also to model uncertainty. The results show that robustness increases the equilibrium equity premium while lowers the risk-free rate.

This paper studies the implications of the presence of any uncertainty about the growth rate process for the asset pricing phenomena by adopting a general equilibrium setting with one representative agent and one perishable good. Model uncertainty, or fear of model misspecification, has been widely studied in portfolio choice and asset pricing, e.g., Epstein and Wang, 1994, Anderson et al., 2003, Uppal and Wang, 2003, Maenhout, 2004 and Liu et al., 2005. Our approach to model uncertainty follows the line of Anderson et al. (2003) which accounts for the imprecise knowledge about the probability distribution with respect to the fundamental risks in the economy. Without considering stochastic volatility, in a pure-exchange economy with one representative agent Maenhout (2004) studied the implications of model uncertainty for equity premium in a diffusion model, while Liu et al. (2005) solved the equilibrium asset prices in a jump diffusion model by allowing model uncertainty with respect to rare events. The motivation of this study is that stochastic volatility models have been widely used in stock, bond, and currency option pricing. However, the empirical studies of Pan (2002) using time-series data from both stock and option markets indicated that the pricing kernel linking the two markets cannot be supported by such an equilibrium derived under a stochastic volatility model. Under stochastic volatility models, our study shows that, except for the market risk premium and the stochastic volatility risk premium, the equilibrium equity premium includes a third part of equity premium which is given by the uncertainty aversion of the investor. This paper is organized as follows. A continuous time pure-exchange competitive economy with one representative agent is introduced in Section 2.1. Alternative models with respect to the reference model are introduced in Section 2.2. The equilibrium model is derived in Section 2.3. Finally, the concluding remarks are given in Section 3.

Model uncertainty occurs in many aspects of financial analysis, especially for expected equity returns and output growth which are the subject of major disagreement and dispute. The stochastic volatility model becomes an important option pricing model since 1993 (Heston, 1993). This paper introduces model uncertainty into such a model and shows its effects on portfolio rules, equilibrium equity premium, and risk-free rate. In an equilibrium setting, we show that robustness increases the equilibrium equity premium while lowers the risk-free rate.