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International Robust Disagreement

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  • Riccardo Colacito
  • Mariano M. Croce

Abstract

We characterize the equilibrium of a two-country, two-good economy in which agents have opposite preference bias toward one of the two consumption goods and fear model misspecification. We document that disagreement about endowments' growth prospects is a persistent endogenous outcome of this class of economies.

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File URL: http://www.aeaweb.org/articles.php?doi=10.1257/aer.102.3.152
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Bibliographic Info

Article provided by American Economic Association in its journal American Economic Review.

Volume (Year): 102 (2012)
Issue (Month): 3 (May)
Pages: 152-55

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Handle: RePEc:aea:aecrev:v:102:y:2012:i:3:p:152-55

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  1. Jaroslav Borovicka, 2009. "Heterogeneous beliefs under recursive preferences," 2009 Meeting Papers 892, Society for Economic Dynamics.
  2. Beber, Alessandro & Breedon, Francis & Buraschi, Andrea, 2010. "Differences in beliefs and currency risk premiums," Journal of Financial Economics, Elsevier, vol. 98(3), pages 415-438, December.
  3. Anderson, Evan W., 2005. "The dynamics of risk-sensitive allocations," Journal of Economic Theory, Elsevier, vol. 125(2), pages 93-150, December.
  4. Evan W. Anderson & Eric Ghysels & Jennifer L. Juergens, 2005. "Do Heterogeneous Beliefs Matter for Asset Pricing?," Review of Financial Studies, Society for Financial Studies, vol. 18(3), pages 875-924.
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Cited by:
  1. Yulei Luo & Jun Nie & Eric R. Young, 2010. "Robust control, informational frictions, and international consumption correlations," Research Working Paper RWP 10-16, Federal Reserve Bank of Kansas City.

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