Survival and Long-Run Dynamics with Heterogeneous Beliefs under Recursive Preferences

• 成果类型: Article
• 署名作者: Borovicka, Jaroslav
• 署名单位: New York University; National Bureau of Economic Research
• 刊物名称: JOURNAL OF POLITICAL ECONOMY
• ISSN/ISSBN: 0022-3808
• DOI: 10.1086/704072
• 发表日期: 2020
• 页码: 206-251
• 关键词: MARKET SELECTION; temporal behavior; asset returns; risk-aversion; uncertainty; consumption; EVOLUTION; WEALTH; agents; time

摘要

I analytically characterize the long-run behavior of an economy with two types of agents who differ in their beliefs and are endowed with homothetic recursive preferences. Agents with more incorrect beliefs dominate, or agents with different accuracy of their beliefs coexist in the long run, for broad ranges of plausible parameterizations when risk aversion is greater than the inverse of the intertemporal elasticity of substitution. The results highlight a crucial interaction between risk sharing, speculative behavior and consumption-saving choice of agents with heterogeneous beliefs, and the role of equilibrium prices in shaping long-run outcomes.