Survival and Long-Run Dynamics with Heterogeneous Beliefs under Recursive Preferences

S-Tier
Journal: Journal of Political Economy
Year: 2020
Volume: 128
Issue: 1
Pages: 206 - 251

Authors (1)

Jaroslav Borovička (not in RePEc)

Score contribution per author:

8.043 = (α=2.01 / 1 authors) × 4.0x S-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

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.

Technical Details

RePEc Handle
repec:ucp:jpolec:doi:10.1086/704072
Journal Field
General
Author Count
1
Added to Database
2026-01-24