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Behavioral Learning Equilibria
Hommes, Cars; Zhu, Mei - Tinbergen Instituut - 2013
This discussion paper led to an article in 'Journal of Economic Theory' (2014). Volume 150, pp. 778-814.<P> We propose … linear forecasting rule and correctly forecast the unconditional sample mean and first-order sample autocorrelation. In the … long run, agents learn the best univariate linear forecasting rule, without fully recognizing the structure of the economy …
Persistent link: https://www.econbiz.de/10011257225
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Individual Expectations, Limited Rationality and Aggregate Outcomes
Bao, Te; Hommes, Cars; Sonnemans, Joep; Tuinstra, Jan - Tinbergen Instituut - 2012
This discussion paper led to a publication in the <I>Journal of Economic Dynamics & Control</I>. Volume 36(8), pp. 1101-1120.<P> Recent studies suggest that the type of strategic environment or expectation feedback can have a large impact on whether the market can learn the rational fundamental price. We...</p></i>
Persistent link: https://www.econbiz.de/10011257529
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Who can predict their own Demise? Accuracy of Longevity Expectations by Education and Cognition
d'Uva, Teresa Bago; Ciftci, Esen Erdogan; O'Donnell, Owen; … - Tinbergen Instituut - 2015
Biased longevity expectations will lead to suboptimal decisions regarding saving, retirement, annuitization and health, with consequences for wellbeing in old age. Systematic differences in the accuracy of longevity expectations may partly explain heterogeneity in economic behaviour by education...
Persistent link: https://www.econbiz.de/10011275101
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More Hedging Instruments may destablize Markets
Brock, William; Hommes, Cars; Wagener, Florian - Tinbergen Instituut - 2006
This discussion paper resulted in a publication in the <I>Journal of Economic Dynamics & Control</I>. Volume 33(11), pp. 1912-1928.<P> This paper formalizes the idea that more hedging instruments may destabilize markets when traders are heterogeneous and adapt their behavior according to experience based...</p></i>
Persistent link: https://www.econbiz.de/10011255525
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Interest Rate Rules and Macroeconomic Stability under Heterogeneous Expectations
Anufriev, Mikhail; Assenza, Tiziana; Hommes, Cars; … - Tinbergen Instituut
stabilizing effect of different monetary policies depends on the ecology of forecasting rules, on agents' sensitivity to … differences in forecasting performance and on how aggressively the monetary authority sets the nominal interest rate in response … is part of the ecology of forecasting strategies. …
Persistent link: https://www.econbiz.de/10011255558
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Overreporting vs. Overreacting: Commuters' Perceptions of Travel Times
Peer, Stefanie; Knockaert, Jasper; Koster, Paul; … - Tinbergen Instituut - 2013
We asked participants of a large-scale, real-life peak avoidance experiment to provide estimates of their average in-vehicle travel time for their morning commute. Comparing these reported travel times to the corresponding actual travel times, we find that travel times are overstated by a factor...
Persistent link: https://www.econbiz.de/10011255638
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Behaviorally Rational Expectations and Almost Self-Fulfilling Equilibria
Hommes, Cars - Tinbergen Instituut - 2013
Rational expectations assumes perfect, model consistency between beliefs and market realizations. Here we discuss behaviorally rational expectations, characterized by an observable, parsimonious and intuitive form of consistency between beliefs and realizations. We discuss three case-studies....
Persistent link: https://www.econbiz.de/10011255795
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Reflexivity, Expectations Feedback and almost Self-fulfilling Equilibria: Economic Theory, Empirical Evidence and Laboratory Experiments
Hommes, Cars - Tinbergen Instituut - 2013
We discuss recent work on bounded rationality and learning in relation to Soros' principle of reflexivity and stress the empirical importance of non-rational, almost self-fulfilling equilibria in positive feedback systems. As an empirical example, we discuss a behavioral asset pricing model with...
Persistent link: https://www.econbiz.de/10011255872
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Vanity in Politics: A Problem?
Suurmond, Guido; Swank, Otto H.; Visser, Bauke - Tinbergen Instituut - 2002
Can vanity do any good? It may seem obvious to answer this question in the negative, as economists have shown how reputational concerns lead agents e.g. to ignore valuable information, to herd, and to become overly risk averse. We explore how proud agents may be a social blessing. An agent may...
Persistent link: https://www.econbiz.de/10011255970
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Strong Consistency of the Least-Squares Estimator in Simple Regression Models with Stochastic Regressors
Christopeit, Norbert; Massmann, Michael - Tinbergen Instituut - 2012
Strong consistency of least squares estimators of the slope parameter in simple linear regression models is established for predetermined stochastic regressors. The main result covers a class of models which falls outside the applicability of what is presently available in the literature. An...
Persistent link: https://www.econbiz.de/10011256174