L
Lars A. Lochstoer
Researcher at University of California, Los Angeles
Publications - 33
Citations - 1449
Lars A. Lochstoer is an academic researcher from University of California, Los Angeles. The author has contributed to research in topics: Capital asset pricing model & Futures contract. The author has an hindex of 16, co-authored 32 publications receiving 1302 citations. Previous affiliations of Lars A. Lochstoer include London Business School & Columbia University.
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Long-Run Risk Through Consumption Smoothing
TL;DR: In this article, the authors examine how long-run consumption risk arises endogenously in a standard production economy model where the representative agent has Epstein-Zin preferences and show that optimal consumption smoothing induces highly persistent time-variation in expected consumption growth (long-run risk).
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Limits to arbitrage and hedging: Evidence from commodity markets
TL;DR: In this article, the authors build an equilibrium model of commodity markets in which speculators are capital constrained, and commodity producers have hedging demands for commodity futures, and conclude that limits to financial arbitrage generate limits to hedging by producers, and affect equilibrium commodity supply and prices.
Journal ArticleDOI
Long-Run Risk through Consumption Smoothing
TL;DR: The authors examined how long-run consumption risk arises endogenously in a standard production economy model where the representative agent has Epstein-Zin preferences and showed that optimal consumption smoothing induces long run risk, highly persistent variation in expected consumption growth.
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Parameter Learning in General Equilibrium: The Asset Pricing Implications
Pierre Collin-Dufresne,Pierre Collin-Dufresne,Pierre Collin-Dufresne,Michael Johannes,Lars A. Lochstoer +4 more
TL;DR: The authors consider general equilibrium models with unknown parameters governing either long-run economic growth, rare events, or model selection and show that parameter learning strongly amplifies the impact of macro shocks on marginal utility when the representative agent has a preference for early resolution of uncertainty.
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Parameter Learning in General Equilibrium: The Asset Pricing Implications
TL;DR: This article showed that parameter learning strongly amplifies the impact of macroeconomic shocks on marginal utility when the representative agent has a preference for early resolution of uncertainty, as rational belief updating generates subjective long-run consumption risks.