Survival and Long-Run Dynamics with Heterogeneous Beliefs under Recursive Preferences
研究了两种信念不同的代理人经济体的长期行为，发现当风险厌恶大于跨期替代弹性的倒数时，信念更错误的代理人可能主导或共存，揭示了风险分担、投机行为与消费储蓄选择的相互作用。
I analytically characterize the long-run behavior of an economy with two types of agents who differ in their beliefs and are endowed with homothetic recursive preferences. Agents with more incorrect beliefs dominate, or agents with different accuracy of their beliefs coexist in the long run, for broad ranges of plausible parameterizations when risk aversion is greater than the inverse of the intertemporal elasticity of substitution. The results highlight a crucial interaction between risk sharing, speculative behavior and consumption-saving choice of agents with heterogeneous beliefs, and the role of equilibrium prices in shaping long-run outcomes.