A two-person dynamic equilibrium under ambiguity

Larry G. Epstein; Jianjun Miao

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A two-person dynamic equilibrium under ambiguity

机译：歧义下的两人动态平衡

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摘要

This paper describes a pure-exchange, continuous-time economy with two heterogeneous agents and complete markets. A novel feature of the economy is that agents perceive some security returns as ambiguous in the sense often attributed to Frank Knight. The equilibrium is described completely in closed-form. After identifying agents as countries, the model is applied to address the consumption home bias and equity home-bias puzzles.

机译：本文描述了具有两个异构代理和完整市场的纯交换，连续时间经济。经济的一个新颖特征是，代理商通常认为应该归因于弗兰克·奈特（Frank Knight），因此有些安全回报是模棱两可的。平衡完全以封闭形式描述。在将代理商识别为国家之后，该模型将用于解决消费家庭偏向和公平家庭偏向难题。

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来源
《Journal of Economic Dynamics and Control》 |2003年第7期|p.1253-1288|共36页
作者
Larry G. Epstein; Jianjun Miao;
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作者单位

Department of Economics, University of Rochester, Rochester, 14627 New York, USA;

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原文格式 PDF
正文语种 eng
中图分类经济;
关键词
ambiguity; home bias; continuous-time; dynamic general equilibrium; ellsberg paradox; knightian uncertainty; asset returns; heterogenous-agent economies;

机译：歧义;家庭偏见;连续时间;动态一般均衡;艾尔斯伯格悖论;骑士不确定性;资产收益率;异质经济;

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A two-person dynamic equilibrium under ambiguity

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