The paper by Kozlowski, Veldkamp, and Venkateswaran argues that economic agents rationally revised their estimates of tail risk following the Great Recession and that this revision explains, at least in part, the persistent decline of interest rates on safe and liquid assets such as US Treasury securities. In a previous paper (Kozlowski, Veldkamp, and Venkateswaran 2015), the authors argued that the same belief revision can explain the slow recovery of investment and output. One important contribution of this work ismethodological: they propose a tractable approach to embedding learning dynamics in fairly standard quantitative models. Substantively, the overall argument is quite plausible, and I believe the remaining issues are really quantitative: How much did people’s beliefs about tail risk change after the Great Recession? And how sensitive are interest rates (in this paper) or economic activity (in the previous paper) to perceived tail risk? In this discussion, I will address the first question briefly, before turning to the second, and then dissect themechanisms throughwhich interest rates depend on tail risk in the paper. In Kozlowski and colleagues’ model, the risk-free asset combines two qualities: it is safe, and it is excellent collateral. Conceptually, one can separate these two characteristics, even though they are joint in the model and, to some extent, in the data. This allows us to distinguish twomechanisms throughwhich higher tail risk increases the value of the risk-free asset. First, agents’ willingness to pay for safe assets increases with tail risk. I will call this the “safety channel.” This is a standard precautionary savings effect, a wellknown piece of canonical asset-pricing theory. Second, agents’ willingness to pay for assets that are good collateral increases with tail risk, in large part because the tail risk reduces investment and thus the supply

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Kozlowski、Veldkamp 和 Venkateswaran 的论文认为，经济主体在大衰退之后理性地修正了他们对尾部风险的估计，并且这种修正至少部分解释了美国国债等安全和流动资产的利率持续下降证券。在之前的一篇论文中（Kozlowski、Veldkamp 和 Venkateswaran，2015 年），作者认为，同样的信念修正可以解释投资和产出的缓慢复苏。这项工作的一个重要贡献是方法论：他们提出了一种易于处理的方法，将学习动态嵌入到相当标准的定量模型中。从本质上讲，整体论点是相当合理的，我相信剩下的问题确实是定量的：大萧条之后，人们对尾部风险的看法发生了多大的变化？利率（在本文中）或经济活动（在前一篇论文中）对感知的尾部风险有多敏感？在本次讨论中，我将简要讨论第一个问题，然后转向第二个问题，然后剖析本文中利率取决于尾部风险的机制。在 Kozlowski 及其同事的模型中，无风险资产结合了两个品质：它是安全的，它是优秀的抵押品。从概念上讲，可以将这两个特征分开，即使它们在模型中以及在某种程度上在数据中是联合的。这使我们能够区分较高的尾部风险增加无风险资产价值的两种机制。首先，代理人为安全资产支付的意愿随着尾部风险的增加而增加。我将其称为“安全通道”。这是一种标准的预防性储蓄效应，是著名的典型资产定价理论。其次，代理人对作为良好抵押品的资产的支付意愿随着尾部风险的增加而增加，这在很大程度上是因为尾部风险减少了投资，从而减少了供应