heterogeneous expectations and exogenous switching process
Heterogeneous Expectations and Bond Markets
... stationary process for the difference in agents’ ...agents’ heterogeneous beliefs on asset price dynamics from the view point of an outside observer, an ...
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Monetary Policy and Heterogeneous Expectations
... of heterogeneous expec- ...two exogenous processes corresponding to “demand” and “price” ...tional expectations equilibria by imposing important cross-equation restrictions while incorporating ...
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Monetary Policy and Heterogeneous Expectations
... of heterogeneous expec- ...two exogenous processes corresponding to “demand” and “price” ...tional expectations equilibria by imposing important cross-equation restrictions while incorporating ...
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Monetary policy and heterogeneous expectations
... The existence of multiple equilibria following a bad luck episode suggests that under a real-time learning and dynamic predictor selection formulation of the model, regime-switching output and inflation volatility ...
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Exogenous expectations on endogenous uncertainty: recursive equilibrium and survival
... with heterogeneous agents and complete markets can be reduced to the Lucas Tree Model because it can be showed that any such equilib- rium is the equilibrium of an appropriately chosen representative agent, so it ...
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Interest Rate Rules with Heterogeneous Expectations
... an expectations-augmented Phillips ...their expectations upwards, and the Fisher effect will put upward pressure on the interest ...cumulative process argument disappeared from the literature after ...
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Heterogeneous Expectations, Dynamics, and Stability of Markets
... of heterogeneous beliefs in a cobweb ...adaptive process, the former consider the expected price as the steady state price, they then have a “rational ...rational expectations and a simple adaptive ...
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Heterogeneous adaptive expectations and cobweb phenomena
... the process, we can make inferences on the behavioural characteristic of the firms entering the market under reasonable assumptions on the distribution of characters in the whole ...
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Heterogeneous Expectations and Complex Economic Dynamics
... value and volatility decreases again. As the price approaches its fundamental value, the profitability of the fundamental expectation rule decreases and the story repeats itself. The market share of chartists starts to ...
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Understanding Markov-Switching Rational Expectations Models
... Other notions of stability could be used in place of mean-square stability. For instance, in economics covariance stationarity is often used, or asymptotic covariance stationarity can be used if one wishes to avoid ...
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Heterogeneous Expectations, Forecast Combination, and Economic Dynamics
... a process called dynamic predictor ...motivate heterogeneous expectations and is shown to produce a number of interesting and relevant economic phenomena such as multiple equilibria, time-varying ...
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Stability and cycles in a cobweb model with heterogeneous expectations
... The framework and the economic import of these papers, including ours, are close to those of Brock and Hommes (1997). 2 Let us first consider the framework. Expectation formation is modeled as a rational economic ...
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Stability and Cycles in a Cobweb Model with Heterogeneous Expectations
... Let us first consider the framework. Expectation formation is modeled as a rational economic decision. Indeed, producers choose between two methods of predicting prices depending on their performance, namely a costly ...
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Stability and cycles in a cobweb model with heterogeneous expectations
... The framework and the economic import of these papers, including ours, are close to those of Brock and Hommes (1997). 2 Let us first consider the framework. Expectation formation is modeled as a rational economic ...
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Heterogeneous Expectations, Adaptive Learning, and Evolutionary Dynamics
... the heterogeneous expectations model discussed in Guse (2005) and extends it further by endogenizing heterogeneity using evolutionary game ...stochastic process, but they also learn which forecasting ...
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Expectational stability in regime-switching rational expectations models
... rational expectations models, depending on the precise parameterization, may admit minimal state variable solutions or solutions that depend on extrinsic random vari- ables ...regime switching models ...
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Heterogeneous Adaptive Expectations and Coordination in a Learning to Forecast Experiment
... a process of learning of others’ ...learning process, or more generally a process of convergence to a specific equilibrium, there should be a reduction of the forecasting error from the beginning to ...
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Heterogeneous Adaptive Expectations and Coordination in a Learning-to-Forecast Experiment
... a process of learning of others’ ...learning process, or more generally a process of convergence to a specific equilibrium, there should be a reduction of the forecasting error from the beginning to ...
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Monetary Policy Rules under Heterogeneous Inflation Expectations
... inflation expectations, arguing that the central bank reacts to the difference between expectations from these two ...inflation expectations on the basis of professional forecasts (using only a ...
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The Heterogeneous Expectations Hypothesis: Some Evidence from the Lab
... of expectations feedback may affect the speed of learning of a new steady state equilibrium ...heuristics switching model (right panels) for a typical group of the nega- tive feedback (top panels) and the ...
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