Diverse beliefs

作者：Brown A A; Rogers L C G^*

来源：Stochastics: An International Journal of Probability and Stochastic Processes , 2012, 84(5-6): 683-703.

DOI：10.1080/17442508.2012.656125

• diverse beliefs
• private information
• probability
• equilibrium
• beauty contest
• mistaken beliefs

Agents can differ in many ways, but differences in beliefs or information are perhaps the most interesting. In this paper, we adopt a general diverse beliefs framework that makes such models relatively easy to analyse. Our first result proves that a finite-horizon discrete-time dynamic stochastic general equilibrium (DSGE) where agents have diverse information is observationally equivalent to the one where the agents have diverse beliefs. This is important because diverse beliefs models are quite easy to study, whereas diverse information models are not. The solution to a continuous-time central-planner equilibrium problem is easy to characterize in the framework adopted, and we develop various properties of the solution, including expressions for equilibrium interest rates and stock price dynamics for an economy of constant relative risk aversion (CRRA) agents, and an expression for the volume of trade.

• 出版日期2012