Econ Papers Daily / 期刊论文
异质信念、资产价格与经济周期
Heterogeneous beliefs, asset prices, and business cycles
摘要
We develop a complete-market production economy in which heterogeneous beliefs about productivity growth affect both asset prices and real activity. Firms must hire workers before productivity is realized, so operating leverage increases the exposure of profits to productivity risk. Because the firm’s discount factor depends on a wealth-weighted aggregation of investor beliefs, shifts in optimism compress risk premia and raise employment, while reversals trigger contractions. This mechanism generates an equilibrium feedback between asset prices, hiring, and risk exposure. A taxonomy of belief systems shows that only extrapolative beliefs produce amplification and endogenous risk build-up. Disciplined by survey expectations, the model jointly matches key asset-pricing, trading-volume, and business-cycle moments.
中文摘要
我们构建了一个完全市场的生产经济模型，其中关于生产率增长异质信念同时影响资产价格和实际经济活动。企业必须在生产率实现之前雇佣工人，因此经营杠杆增加了利润对生产率风险的暴露。由于企业的贴现因子取决于投资者信念的财富加权聚合，乐观情绪的变动会压缩风险溢价并提高就业，而乐观情绪的反转则引发收缩。这一机制在资产价格、雇佣和风险暴露之间产生了均衡反馈。对信念体系的分类表明，只有外推性信念才会产生放大效应和内生风险积累。在调查预期的约束下，该模型能够同时匹配关键的资产定价、交易量和商业周期特征。