This paper verifies the endogenous mechanism and economic intuition on volatility clustering using the coexistence of … processes can endogenously generate volatility clustering and long range dependence in volatility observed in financial markets …. Economically, volatility clustering occurs when neither the fundamental nor trend following traders dominate the market and when …

-average forecast rules for a subset of agents can significantly magnify the volatility and persistence of house prices and household … used to dampen the resulting excess volatility, including a direct response to house price growth or credit growth in the … is the most effective tool for dampening overall excess volatility in the model economy. While an interest-rate response …

moments, we show that it can quantitatively account for the observed stock price volatility, the persistence of the price …

This essay links some of my own work on expectations, learning and bounded rationality to the inspiring ideas of Jean …-Michel Grandmont. In particular, my work on consistent expectations and behavioral learning equilibria may be seen as formalizations of … JMG's ideas of self-fulfilling mistakes. Some of our learning-to-forecast laboratory experiments with human subjects have …

Different theories of expectation formation and learning usually yield different outcomes for realized market prices in … dynamic models. The purpose of this paper is to investigate expectation formation and learning in a controlled experimental … measured by the variance is significantly larger than the amplitude under RE, implying persistent excess volatility. However …

-formation capabilities of agents. Under efficient signal extracting, noisy economic indicators dampen cyclical volatility. The opposite …

with high fitness. We characterize the stability and bifurcation properties of the underlying deterministic model via the …

inflation volatility. …