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Diverse Beliefs, Survival and the Market Price of Risk

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Author Info
Timothy Cogley
ThomasJ. Sargent

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Abstract

We study prices and allocations in a complete-markets, pure-exchange economy in which there are two types of agents with different priors over infinite sequences of the aggregate endowment. Aggregate consumption growth evolves exogenously according to a two-state Markov process. The economy has two types of agents, one that learns about transition probabilities and another that knows them. We examine allocations, the market price of risk and the rate at which asset prices converge to values that would be computed under the assumption that all agents know the transition probabilities. Copyright © The Author(s). Journal compilation © Royal Economic Society 2009.

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File URL: http://www.blackwell-synergy.com/doi/abs/10.1111/j.1468-0297.2008.02237.x
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Publisher Info
Article provided by Royal Economic Society in its journal The Economic Journal.

Volume (Year): 119 (2009)
Issue (Month): 536 (03)
Pages: 354-376
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Handle: RePEc:ecj:econjl:v:119:y:2009:i:536:p:354-376

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This page was last updated on 2010-1-3.

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