INTERTEMPORAL ASSET PRICING WITH HETEROGENEOUS BELIEFS
成果类型：
Article
署名作者：
DETEMPLE, J; MURTHY, S
署名单位：
Rutgers University System; Rutgers University New Brunswick; Rutgers University Newark
刊物名称：
JOURNAL OF ECONOMIC THEORY
ISSN/ISSBN：
0022-0531
DOI：
10.1006/jeth.1994.1017
发表日期：
1994
页码：
294-320
关键词：
摘要：
We examine the behaviour of the interest rate, asset prices, and asset holdings in an economy with heterogeneous, rationally updated beliefs about the expected rate of production growth. The equilibrium interest rate is a weighted average of the interest rates that would prevail in economies populated by homogeneous agents with the beliefs of the respective agents in the heterogeneous model. The weights are given by the fractions of total wealth held. Financial innovation affects the dynamics of allocations and prices but preserves the aggregate output process and the structure of equilibrium: asset prices also display the wealth-weighted average characterization.