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Evans, George W.; Honkapohja, Seppo - In: Handbook of macroeconomics : volume 1, part A, (pp. 449-542). 1999

approximation based on an associated differential equation. Global stability, local stability and instability results for SRAs are … presented. For a wide range of solutions to economic models the stability conditions for REE under statistical learning rules … are given by the expectational stability principle, which is treated as a unifying principle for the results presented …

Persistent link: https://www.econbiz.de/10014024243

Consumption choices and earnings expectations : empirical evidence and structural estimation

Stoltenberg, Christian; Uhlendorff, Arne - 2023

In this paper, we document that households' consumption expenditures crucially depend on their expected earnings - even after controlling for realized earnings, wealth and time-invariant unobserved characteristics such as permanent income and over-confidence. To explain this evidence, we develop...

Persistent link: https://www.econbiz.de/10014249642

Asset Pricing with Heterogeneous Beliefs and Illiquidity

Muhle-Karbe, Johannes - 2020

This paper studies the equilibrium price of an asset that is traded in continuous time between N agents who have heterogeneous beliefs about the state process underlying the asset's payoff. We propose a tractable model where agents maximize expected returns under quadratic costs on inventories...

Persistent link: https://www.econbiz.de/10012849216

Bubble formation and (in)efficient markets in learning-to-forecast and -optimise experiments

Te, Bao; Hommes, Cars H.; Makarewicz, Tomasz - 2015

This experiment compares the price dynamics and bubble formation in an asset market with a price adjustment rule in three treatments where subjects (1) submit a price forecast only, (2) choose quantity to buy/sell and (3) perform both tasks. We find deviation of the market price from the...

Persistent link: https://www.econbiz.de/10011333057

The misspecification of expectations in New Keynesian models : a DSGE-VAR approach

Cole, Stephen J.; Milani, Fabio - 2016

This paper tests the ability of popular New Keynesian models, which are traditionally used to study monetary policy and business cycles, to match the data regarding a key channel for monetary transmission: the dynamic interactions between macroeconomic variables and their corresponding...

Persistent link: https://www.econbiz.de/10011541080

Randomizing endowments : an experimental study of rational expectations and reference-dependent preferences

Götte, Lorenz; Harms, Annette; Sprenger, Charles - 2014

An important advance in the study of reference-dependent preferences is the discipline provided by coherent accounts of reference point formation. Kőszegi and Rabin (2006) provide such discipline by positing a reference point grounded in rational expectations. We examine the predictions of...

Persistent link: https://www.econbiz.de/10010436164

Examining income expectations in the college and early post-college periods : new distributional tests of rational expectations

Crossley, Thomas F.; Gong, Yifan; Stinebrickner, Todd R.; … - 2021

Unique longitudinal probabilistic expectations data from the Berea Panel Study, which cover both college and early post-college periods, are used to examine young adults’ beliefs about their future incomes. We introduce a new measure of the ex post accuracy of beliefs, and two new approaches...

Persistent link: https://www.econbiz.de/10012417717

Rationalizing rational expectations? : tests and deviations

D'Haultfœuille, Xavier; Gaillac, Christophe; Maurel, Arnaud - 2018

In this paper, we build a new test of rational expectations based on the marginal distributions of realizations and subjective beliefs. This test is widely applicable, including in the common situation where realizations and beliefs are observed in two different datasets that cannot be matched....

Persistent link: https://www.econbiz.de/10011951089

Examining income expectations in the college and early post-college periods : new distributional tests of rational expectations

Crossley, Thomas F.; Gong, Yifan; Stinebrickner, Todd R.; … - 2021

Persistent link: https://www.econbiz.de/10012427620

Existence of adaptively stable sunspot equilibria near an indeterminate steady state

Evans, George W.; Honkapohja, Seppo - 2001

We examine the nonlinear model Xt = Et F(xt+1) . Markov SSEs exist near an indeterminate steady state, X = F(X), provided F´(X)> 1. We show that there exist Markov SSEs that are E-stable, and therefore locally stable under adaptive learning, if F´(X)< -1.

Persistent link: https://www.econbiz.de/10011398793

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