发布时间:2022-11-08 10:12:20 作者:万茜 来源:金融研究院 阅读:

主  题: Smooth Ambiguity, Wealth Dynamics and Asset Prices with Heterogeneous Beliefs

时  间: 2022年11月15日(周二)16:30-18:30


地  点: 腾讯会ID:459 630 023)



We study a class of endowment economies with long-run risks in which agents have generalized recursive smooth ambiguity preferences and heterogeneous beliefs. The expected growth rate of aggregate consumption consists of a persistent component.Agents cannot observe the component but learn about it via Bayes' rule. Meanwhile,agents hold different beliefs about persistence of the long-run component. By examining a two-agent model, we find that: 1) the consumption share of the agent with the correct belief dominates in the long run, even when both agents have recursive preferences without smooth ambiguity,2) smooth ambiguity, in conjunction with state uncertainty,generates uncertainty sharing motive that leads to long-run survival of both agents, 3) the time-varying weights of agents and posterior beliefs help explain the time variation of price-dividend ratios in the data, and 4) in a model with an ambiguity-averse agent and an ambiguity-loving agent, both agents survive in the long run if they hold different beliefs


刘赫宁,英国曼彻斯特大学Alliance商学院金融学教授。主要研究领域为资产定价、宏观金融、投资组合、金融计量。研究成果发表于Review of Financial Studies, Journal of Monetary Economics, Journal of Econometrics, Management Science, Journal of Financial and Quantitative Analysis等金融学经济学顶尖期刊。担任American Economic Review, Journal of Political Economy, Review of Financial Studies, Journal of Financial and Quantitative Analysis, Management Science等多种期刊的审稿人。