AFR Seminar

NO.150报告人:Kenneth Kasa(加拿大西蒙菲莎大学)

发布时间:2022-11-29 11:59:59 作者:万茜 来源:金融研究院 阅读:

主  题: DOUBTS, INEQUALITY, AND BUBBLESy

时  间: 2022年12月2日(周五)9:00-11:00

主讲人: Kenneth Kasa(加拿大西蒙菲莎大学)

地  点: 腾讯会议(ID: 680 178 851

 

摘要:

Two agents trade an indivisible asset. They are risk neutral and share a common benchmark dividend model. However, each has doubts about the specication of this model. These doubts manifest themselves as a preference for robustness (Hansen and Sargent (2008)). Robust preferences introduce pessimistic drift distortions into the benchmark dividend process. These distortions increase with the level of wealth, and give rise to endogenous heterogeneous beliefs. Belief heterogeneity allows asset price bubbles to emerge, as in Scheinkman and Xiong (2003). A novel implication of our analysis is that bubbles occur when wealth inequality increases. Empirical evidence supports this prediction. Detection error probabilities suggest that the implied degree of belief heterogeneity is empirically plausible.

演讲人简介:

Kenneth Kasa 加拿大西蒙菲莎(Simon Fraser)大学经济学教授,主要研究领域为宏观经济理论、信息摩擦、模糊性下的(稳健)决策理论、汇率与资产价格波动率等领域,Kasa教授在上述领域成果丰硕,并有数十篇学术论文发表在包括American Economic ReviewReview of Economic StudiesJournal of Monetary EconomicsJournal of International EconomicsInternational Economic Review 等国际顶级期刊。

 

 

主  办:浙江大学金融研究院

承  办:AFR金融理论与政策研究中心

AFR金融科学与工程联合研究中心

2022年11月29日