Uncertainty and Disagreement in Equilibrium Models

• 成果类型: Article
• 署名作者: Al-Najjar, Nabil I.; Shmaya, Eran
• 署名单位: Northwestern University; Tel Aviv University
• 刊物名称: JOURNAL OF POLITICAL ECONOMY
• ISSN/ISSBN: 0022-3808
• DOI: 10.1086/681241
• 发表日期: 2015
• 页码: 778-808
• 关键词: SPECULATIVE INVESTOR BEHAVIOR; stock-market; expectations; DYNAMICS; beliefs; tests; games

摘要

Leading equilibrium concepts require agents' beliefs to coincide with the model's true probabilities and thus be free of systematic errors. This implicitly assumes a criterion that tests beliefs against the observed outcomes generated by the model. We formalize this requirement in stationary environments. We show that there is a tension between requiring that beliefs can be tested against systematic errors and allowing agents to disagree or be uncertain about the long-run fundamentals. We discuss the application of our analysis to asset pricing, Markov perfect equilibria, and dynamic games.