Affine Disagreement and Asset Pricing
提出一个灵活的仿射分歧框架来建模经济中的异质信念，允许代理人关于增长率、波动率、跳跃概率和跳跃大小分布存在随机分歧，并研究了罕见灾难分歧对资产定价的影响。
Models of heterogeneous beliefs can generate rich implications for trading and asset pricing (see Suleyman Basak 2005 for a recent survey). When studying such models, aggregation often leads to difficulty in computing equilibrium outcomes. In this paper, we introduce a flexible framework to model heterogeneous beliefs in the economy, which we refer to as “affine’’ disagreement about fundamentals. Affine processes (see Darrel Duffie, Jun Pan, and Kenneth Singleton 2000) are appealing as they provide a large degree of flexibility in modeling the conditional means, volatilities, and jumps for various quantities of interest while remaining analytically tractable. Our affine heterogeneous beliefs framework allows further for stochastic disagreement among agents about growth rates, volatility dynamics, as well as the likelihood of jumps and the distribution of jump sizes. Disagreement about rare disasters provides an interesting case study for our framework. Research by Thomas A. Rietz (1988), Francis Longstaff and Monika Piazzesi (2004), Robert J. Barro (2006) and others show that the possible occurrence of rare disasters that result in severe losses in consumption can have large impact on asset prices. However, the relatively short sample period and lack of historical precedents of disaster events (at least in the United States) make it difficult to precisely measure the frequencies of disasters or the size of their Asset Pricing: new risk chAnnels †