Diverse Beliefs, Survival and the Market Price of Risk

• 成果类型: Article
• 署名作者: Cogley, Timothy; Sargent, Thomas J.
• 署名单位: University of California System; University of California Davis; New York University
• 刊物名称: ECONOMIC JOURNAL
• ISSN/ISSBN: 0013-0133
• DOI: 10.1111/j.1468-0297.2008.02237.x
• 发表日期: 2009
• 页码: 354-376
• 关键词: forecasts; returns

摘要

We study prices and allocations in a complete-markets, pure-exchange economy in which there are two types of agents with different priors over infinite sequences of the aggregate endowment. Aggregate consumption growth evolves exogenously according to a two-state Markov process. The economy has two types of agents, one that learns about transition probabilities and another that knows them. We examine allocations, the market price of risk and the rate at which asset prices converge to values that would be computed under the assumption that all agents know the transition probabilities.