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...

The underlying nature of forecast optimization makes the rational expectations hypothesis (REH) a framework that is theoretically consistent with the expectations formation produced by economic agents under well-defined assumptions of unbiased forecasts and efficient utilization of available...

Tests on simulated data from an asset pricing model with heterogeneous forecasts show excess variance in the price and ARCH effects in the returns, features not explained by the strong version of the efficient markets hypothesis. An evolutionary game theory dynamic describes how agents switch...

This study employs monthly survey data and information obtained from media content analyses to investigate the potential link between (negativity in) economic news coverage and the pessimism in German unemployment expectations. For the period from 2001 to 2009, time-series estimates do not...

L’objet de cet article est d’identifier le rôle des fondamentaux, des phénomènes de type « tachesolaire » et de la contagion pure au sens de Masson (1999) à travers une étude empirique de ladynamique des anticipations des investisseurs. À cet effet, nous estimons un modèle...

We employ a special adaptive form of the Strongly Typed Genetic Programming (STGP)-based learning algorithm to develop trading rules based on a survival of the fittest principle. Employing returns data for the Russell 1000, Russell 2000 and Russell 3000 indices the STGP method produces greater...

The aim of this paper is to verify the existence and to determine the nature of long-term relationships between economic agents’ confidence, measured by the Economic Sentiment Index (ESI), with some of the "fundamentals" of the Spanish economy. In particular, by modeling this type of...

The way in which market participants form expectations affects the dynamic properties of financial asset prices and therefore the appropriateness of different econometric tools used for empirical asset pricing. In addition to standard rational expectations models, this thesis studies a class of...

This paper proposes a measure of real-time inflation expectations based on metadata, i.e., data about data, constructed from internet search queries performed on the search engine Google. The forecasting performance of the Google Inflation Search Index (GISI) is assessed relative to 37 other...

The rational expectations hypothesis (REH) serves as an appealing mechanism in forming expectations compared to that of extrapolative or adaptive frameworks because of its consistency with the basic principles of maximizing behavior. This argument is particularly true as the basic idea of REH...