A WELFARE CRITERION FOR MODELS WITH DISTORTED BELIEFS

• 成果类型: Article
• 署名作者: Brunnermeier, Markus K.; Simsek, Alp; Xiong, Wei
• 署名单位: Princeton University; National Bureau of Economic Research; Massachusetts Institute of Technology (MIT)
• 刊物名称: QUARTERLY JOURNAL OF ECONOMICS
• ISSN/ISSBN: 0033-5533
• DOI: 10.1093/qje/qju025
• 发表日期: 2014
• 页码: 1753-1797
• 关键词: Heterogeneous beliefs; financial innovation; asset; MARKET; uncertainty; allocation; RISK; overconfidence; speculation; INFORMATION

摘要

This article proposes a welfare criterion for economies in which agents have heterogeneously distorted beliefs. Instead of taking a stand on whose belief is correct, our criterion asserts that an allocation is belief-neutral efficient (inefficient) if it is efficient (inefficient) under any convex combination of agents' beliefs. Although this criterion gives an incomplete ranking of social allocations, it can identify positive-and negative-sum speculation driven by conflicting beliefs in a broad range of economic environments.