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Neglected Heterogeneity and Dynamics in Cross-country Savings Regressions

Haque, N. U.; Pesaran, M. H.; Sharma, Sunil - Faculty of Economics, University of Cambridge - 1999

allowing for the possible heterogeneity of savings behaviour across countries and for the inclusion of dynamics. It reviews the … econometric implications of neglected slope heterogeneity and dynamics for the fixed effects estimators routinely used in such … countries. The paper shows that neglecting heterogeneity and dynamics in cross-country savings regressions can lead to …

Persistent link: https://www.econbiz.de/10005113748

On the Difficulty of Measuring Forecasting Skill in Financial Markets

Satchell, S.; Williams, O.J. - Faculty of Economics, University of Cambridge - 2010

The use of correlation between forecasts and actual returns is commonplace in the literature, often used as a measurement of investors’ skill. A prominent application of this is the concept of the Information Coefficient (IC). Not only can IC be used as a tool to rate analysts and fund...

Persistent link: https://www.econbiz.de/10008483949

Social Welfare Issues of Financial Literacy

Satchell, S.; Williams, O.J. - Faculty of Economics, University of Cambridge - 2010

In the matter of financial literacy it is often supposed that more is automatically preferable to less. This paper considers to what extent this may be true generally, and specifically focuses on the case of investment forecasting skill (a significant component of an individual's financial...

Persistent link: https://www.econbiz.de/10008490341

Learning Stability for Monetary Policy Rules in a Two-Country Model

Wang, Q. - Faculty of Economics, University of Cambridge - 2006

This work evaluates whether or not the interest rate rules under different exchange rate regimes lead to a REE that is both locally determinate and stable under adaptive learning by private agents. I find that monetary interdependence among countries is crucial for the determinacy and learning...

Persistent link: https://www.econbiz.de/10005489321

The Impact of Technical Analysis on Asset Price Dynamics

Yang, J.-H. Steffi; Satchell, S.E. - Faculty of Economics, University of Cambridge - 2002

We study the impact of technical analysis in a context of heterogeneous, utility-maximising agents. A framework is provided to capture observed diversity in forecast estimates as a result of interaction between prior beliefs and asymmetric information. Using investment decisions of...

Persistent link: https://www.econbiz.de/10005113741

Learning from the Expectations of Others

Granato, J.; Guse, E.; Sunny Wong, M.C. - Faculty of Economics, University of Cambridge - 2006

The assumption of perfectly rational representative agents is commonly questioned. This paper explores the equilibrium properties of boundedly rational heterogeneous agents. We combine an adaptive learning process in a modified cobweb model within a Stackleberg framework. We assume that there is...

Persistent link: https://www.econbiz.de/10005113743

Anticipated Fiscal Policy and Adaptive Learning

Evans, G.W.; Honkapohja, S.; Mitra, K. - Faculty of Economics, University of Cambridge - 2007

We consider the impact of anticipated policy changes when agents form expectations using adaptive learning rather than rational expectations. To model this we assume that agents combine limited structural knowledge with a standard adaptive learning rule. We analyze these issues using two...

Persistent link: https://www.econbiz.de/10005113861

Learning with Heterogeneous Expectations in an Evolutionary World

Guse, E. - Faculty of Economics, University of Cambridge - 2005

This paper studies a game theoretic model where agents choose between two updating rules to predict a future endogenous variable. Agents rationally choose between these predictors based on relative performance. Conditions for evolutionary stability and stability under learning are found for the...

Persistent link: https://www.econbiz.de/10005647403

Sen’s Capability Approach to Welfare Economics

Kuklys, W.; Robeyns, I. - Faculty of Economics, University of Cambridge - 2004

We describe Amartya Sen's Capability Approach to welfare evaluation in the language of standard welfare economics, and assess to what extent it provides a genuine alternative for individual welfare measurement and policy evaluation. We review the nascent empirical literature on the capability...

Persistent link: https://www.econbiz.de/10005783715

Households, Individuals and the Re-Distribution of Income.

Sutherland, H. - Faculty of Economics, University of Cambridge - 1996

This paper explores the implications of examining the effect of policy changes on individual incomes rather than household incomes.

Persistent link: https://www.econbiz.de/10005207807