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Consistent Estimation of Structural Parameters in Regression Models with Adaptive Learning
Christopeit, Norbert; Massmann, Michael - Tinbergen Instituut - 2010
In this paper we consider regression models with forecast feedback. Agents' expectations are formed via the recursive estimation of the parameters in an auxiliary model. The learning scheme employed by the agents belongs to the class of stochastic approximation algorithms whose gain sequence is...
Persistent link: https://www.econbiz.de/10011256878
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Learning, Forecasting and Optimizing: An Experimental Study
Bao, Te; Duffy, John; Hommes, Cars - Tinbergen Instituut - 2012
both forecasting and optimization decisions in an experimental cobweb economy. We report results from four experimental … and 4) they are paired in teams and one member is assigned the forecasting role while the other is assigned the …
Persistent link: https://www.econbiz.de/10011256912
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Animal Spirits, Heterogeneous Expectations and the Emergence of Booms and Busts
Assenza, Tiziana; Brock, William A.; Hommes, Cars H. - Tinbergen Instituut - 2013
We introduce a simple equilibrium model of a market for loans, where households lend to firms based on heterogeneous expectations about their loan default probability. Agents select among heterogeneous expectation rules, based upon their relative performance. A small fraction of pessimistic...
Persistent link: https://www.econbiz.de/10011257071
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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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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