【主讲】Jan Werner (University of Minnesota)
【主题】Speculative Trade under Ambiguity
【时间】2015年11月17日 (周二) 15：30-17：00
【地点】上海财经大学经济学院楼501室
【语言】英文
【摘要】Ambiguous beliefs may lead to speculative trade and speculative bub-bles. We demonstrate this by showing that the classical Harrison and Kreps (1978)example of speculative trade among agents with heterogeneous beliefs can be repli-cated with agents having common ambiguous beliefs. More precisely, we showthat the same asset prices and pattern of trade can be obtained in equilibriumwith agents’ having recursive multiple-prior expected utilities with common set ofprobabilities.While learning about the true distribution of asset dividends makes speculativebubbles vanish in the long run under heterogeneous beliefs, it may not do so undercommon ambiguous beliefs. Ambiguity need not disappear with learning over time,and speculative bubbles may persist forever.
