Collin-Dufresne, PierreJohannes, MichaelLochstoer, Lars A.2013-08-082013-08-082013-08-082012https://infoscience.epfl.ch/handle/20.500.14299/94017Parameter learning strongly amplifies the impact of macro shocks on marginal utility when the representative agent has a preference for early resolution of uncertainty. This occurs as rational belief updating generates subjective long-run consumption risks. We consider general equilibrium models with unknown parameters governing either long-run economic growth, the variance of shocks, rare events, or model selection. Overall, parameter learning generates long-lasting, quantitatively significant additional macro risks that help explain standard asset pricing puzzles.text::working paper