Ambiguity aversion in the long run"to disagree, we must also agree"

Resumo

We consider an economy populated by smooth ambiguity-averse agents with complete markets of securities contingent to economic scenarios, where bankruptcy is permitted but there is a penalty for it. We show that if agents' posterior belief reductions given by their 'average probabilistic beliefs' do not become homogeneous then an equilibrium does not exist. It is worth noting that our main result does not imply any convergence of ambiguity perception or even the attitudes towards it. In this way, complete markets with default and punishment allow for ambiguity aversion in the long run, and the agents can disagree on their ambiguity perception but they must agree on their expected beliefs. (C) 2016 Elsevier Inc. All rights reserved.

Ficha do documento

Tipo

Artigo científico

Ano

2016

Instituição

Academic Press Inc Elsevier Science

Fonte

Repositório da FGV

Idioma

Inglês

Acesso

Acesso restrito

DOI

10.1016/j.jet.2016.04.008

Identificador

oai:repositorio.fgv.br:10438/23645

Temas

Economia

Palavras-chave

Ambiguity aversionBankruptcyComplete marketsConvergence of beliefsPunishmentsSmooth ambiguity modelEconomiaEquilíbrio econômicoFalência