Le taux d'escompte à long terme en tenant compte de la production

The thesis explores the impact of heterogeneous beliefs on the equilibrium characteristics prevailing in economies made of irrational agents. In the first part, an economy providing investment opportunities in production of unrestricted supply and a bond of zero supply to both an optimist and a pessimist is analyzed at the equilibrium. The optimist's (pessimist's) optimal investment in the production and the bond turn out higher (lower) and lower (higher), respectively, than in the rational case. The equilibrium risk free rate is a wealth share weighted average of the homogeneous rates, the rates prevailing in the single agent economies, and it undergoes pro-cyclical fluctuations within bounds defined by the optimist's (upper) and the pessimist's rate (lower). Higher divergence of beliefs not only leads to larger fluctuations of the risk free rate but also increases the fraction of total wealth invested in the bond. Finally, an agent's impact on the equilibrium characteristics is highest for near zero personal wealth. In the second part, the equilibrium characteristics of an economy made of agents, with subjective and heterogeneous beliefs, are studied. The agents, as a group rational, share an endowment driven by two sources of risk. The market prices of risk and the risk free rate are consumption share weighted averages of their analogues arising in the single agent economies. They are on average equal to their rational values and exhibit cyclical behaviours, pro- or counter-cyclical, depending on the belief setup. Higher belief divergence leads not only to more uncertainty on asset prices but also to higher volatility of the equilibrium characteristics.