Li, Tao; Muzere, Mark L. - In: Journal of Financial and Quantitative Analysis 45 (2011) 06, pp. 1485-1516
We develop an equilibrium model in a 2-country, 2-good, pure exchange economy in which investors with logarithmic utility functions have heterogeneous beliefs about exogenously given output or endowment processes. We obtain closed-form representations of real exchange rates and of stock prices....