Econ Papers Daily / 期刊论文
共享模型不确定性
Sharing Model Uncertainty
摘要
This paper examines efficient allocations in economies where consumers exhibit heterogeneous smooth ambiguity preferences and face model uncertainty with a common set of identifiable models. Aggregate endowment is ambiguous. We characterize economies where the representative consumer is of the smooth ambiguity type and derive efficient sharing rules. Heterogeneous ambiguity aversion leads to sharing rules that systematically differ from those in vNM economies. The representative consumer’s ambiguity aversion differs from that of the typical consumer; this leads to more compelling asset-pricing predictions. We focus on point-identified models but show that our insights extend to partially identified models. (JEL D11, D61, D81, E32, G12)
中文摘要
本文研究了消费者具有异质性平滑模糊偏好且面临共同可识别模型集下的模型不确定性时的经济有效配置问题。总禀赋具有模糊性。我们刻画了代表性消费者属于平滑模糊类型的经济体特征，并推导出有效的风险分担规则。异质性模糊厌恶导致的风险分担规则与vNM经济体中的规则存在系统性差异。代表性消费者的模糊厌恶程度与典型消费者不同，这产生了更具说服力的资产定价预测。本文重点研究点识别模型，但论证了相关见解可推广至部分识别模型。（JEL分类号：D11, D61, D81, E32, G12）