Uncertainty and disagreement in equilibrium models

• Autores: Nabil I. Al-Najjar, Eran Shmaya
• Localización: Journal of Political Economy, ISSN-e 1537-534X, Vol. 123, Nº. 4, 2015, págs. 778-808
• Idioma: inglés
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• Resumen

  • Leading equilibrium concepts require agents’ beliefs to coincide with the model’s true probabilities and thus be free of systematic errors. This implicitly assumes a criterion that tests beliefs against the observed outcomes generated by the model. We formalize this requirement in stationary environments. We show that there is a tension between requiring that beliefs can be tested against systematic errors and allowing agents to disagree or be uncertain about the long-run fundamentals. We discuss the application of our analysis to asset pricing, Markov perfect equilibria, and dynamic games