The data-generating process underlying productivity includes both trend and business-cycle shocks, generating counterfactuals for prices under full information. In practice, agents’ inability to immediately distinguish between the two shocks creates “rational confusion”: each shock inherits properties of its counterpart. This confusion magnifies the perceived share of permanent shocks and implies that, contrary to canonical frameworks, transitory shocks are the main driver of long-run risk through trendy business cycles. With learning, the equity premium turns positive, and both investment and valuation ratios become procyclical, as in the data. Consequently, rational confusion is key for reconciling disciplined macro-dynamics with equilibrium asset prices.

中文翻译：

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时尚的商业周期和资产价格

生产力基础的数据生成过程包括趋势和商业周期冲击，在完整信息下为价格生成反事实。在实践中，代理人无法立即区分两种冲击会造成“理性混乱”：每种冲击都继承了对应物的属性。这种混淆放大了永久性冲击的感知份额，并暗示与规范框架相反，暂时性冲击是趋势商业周期中长期风险的主要驱动力。随着学习，股权溢价变为正数，投资和估值比率都变成顺周期性的，如数据所示。因此，理性混淆是协调有纪律的宏观动态与均衡资产价格的关键。