Ambiguity Aversion in the Long Run: "To Disagree, We Must Also Agree"

O INSPER E ESTE REPOSITÓRIO NÃO DETÊM OS DIREITOS DE USO E REPRODUÇÃO DOS CONTEÚDOS AQUI REGISTRADOS. É RESPONSABILIDADE DO USUÁRIO VERIFICAR OS USOS PERMITIDOS NA FONTE ORIGINAL, RESPEITANDO-SE OS DIREITOS DE AUTOR OU EDITORAraujo, AloisioSilva, Pietro daJOSÉ HELENO FARO2023-07-212023-07-212015https://repositorio.insper.edu.br/handle/11224/5905We 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 agentsí posterior belief reductions given by their ìaverage proba bilistic beliefs" do not become homogeneous then an equilibrium does not exist. It is worth noting that our main result does not imply any conver gence of ambiguity perception or even the attitudes towards it. In this way, complete markets with default and punishment allows for ambiguity aversion in the long run, and the agents can disagree on their ambiguity perception but they must agree on their expected beliefs.16 p.DigitalInglêsAmbiguity Aversion in the Long Run: "To Disagree, We Must Also Agree"working paperConvergence of ExpectationsAmbiguity AversionBEWP 222/2015