Title of article
Three typesofambiguity
Author/Authors
Lars PeterHansen، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2012
Pages
24
From page
422
To page
445
Abstract
For eachofthreetypesofambiguity,wecomputearobustRamseyplanandanassociated
worst-case probabilitymodel. Ex post, ambiguityoftypeIimpliesendogenouslydistorted
homogeneous beliefs,whileambiguitiesoftypesIIandIIIimplydistorted heterogeneous
beliefs.Martingalescharacterizealternativeprobabilityspecificationsandclarifydistinc-
tions amongthethreetypesofambiguity.WeuserecursiveformulationsofRamsey
problemstoimposelocalpredictabilityofcommitmentmultipliersdirectly.Toreducethe
dimensionofthestateinarecursiveformulation,wetransformthecommitmentmultiplier
to accommodatetheheterogeneousbeliefsthatarisewithambiguityoftypesIIandIII.Our
formulationsfacilitatecomparisonsoftheconsequencesofthesealternativetypesof
ambiguity
Journal title
Journal of Monetary Economics
Serial Year
2012
Journal title
Journal of Monetary Economics
Record number
846532
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