WEALTH DYNAMICS IN A BOND ECONOMY WITH HETEROGENEOUS BELIEFS

• 成果类型: Article
• 署名作者: Cogley, Timothy; Sargent, Thomas J.; Tsyrennikov, Viktor
• 署名单位: New York University; Cornell University
• 刊物名称: ECONOMIC JOURNAL
• ISSN/ISSBN: 0013-0133
• DOI: 10.1111/ecoj.12041
• 发表日期: 2014
• 页码: 1-30
• 关键词: diverse beliefs; MARKETS; selection; models; RISK

摘要

Two types of agents have diverse beliefs about the law of motion for an exogenous endowment. One knows the true process, and the other learns about it via Bayes' theorem. Financial market structure affects the dynamics of the wealth distribution. When markets are complete, the learning agent loses wealth, as in Blume and Easley (2006). The absence of markets for some Arrow securities alters the direction in which wealth is transferred. When the only traded asset is a risk-free bond, the learning agent accumulates wealth, both agents survive and the more knowledgeable agent is driven to his debt limit.