We commonly think of information as a means to an end. However, a growing theoretical
and experimental literature suggests that information may directly enter the agent's utility …

We survey literature on ambiguity with an emphasis on recent applications in
macroeconomics and finance. Like risk, ambiguity leads to cautious behavior and …

This paper develops a revealed preference theory for the equity premium around
macroeconomic announcements. Stock returns realized around pre‐scheduled …

We review the literature on uncertainty shocks and business cycle research. First, we
motivate the study of uncertainty shocks by documenting the presence of time-variation in …

We propose a novel generalized recursive smooth ambiguity model which permits a three‐
way separation among risk aversion, ambiguity aversion, and intertemporal substitution. We …

Parameter learning strongly amplifies the impact of macroeconomic shocks on marginal
utility when the representative agent has a preference for early resolution of uncertainty. This …

We study decision problems in which consequences of the various alternative actions
depend on states determined by a generative mechanism representing some natural or …

This paper assesses the quantitative impact of ambiguity on historically observed financial
asset returns and growth rates. The single agent, in a dynamic exchange economy, treats …

Beliefs are a central determinant of behavior. Recent models assume that beliefs about or
the anticipation of future consumption have direct utility consequences. This gives rise to …

We explore the set of preferences defined over temporal lotteries in an infinite horizon
setting. We provide utility representations for all preferences that are both recursive and …