Asset Pricing and Macro-Finance

Student: Pirbudagova Shuaynat

Faculty: International College of Economics and Finance

Educational Programme: Double degree programme in Economics of the NRU HSE and the University of London (Bachelor)

Final Grade: 10

Year of Graduation: 2020

This paper develops RBC-like framework with inattentive forecasters to study effects of information - processing constraint on dynamics of asset prices. As far as we are aware, it is the first attempt to explicitly model inattention in forecasting activity in general equilibrium framework. The paper compares impact of the constraint with the rise in risk aversion and shows that this kind of rational inattention can be treated as alternative solution to equity premium puzzle.

Full text (added June 11, 2020)

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