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Central bank transparency and nonlinear learning dynamics
Eusepi, Stefano - 2008
Central bank communication plays an important role in shaping market participants' expectations. This paper studies a simple nonlinear model of monetary policy in which agents have incomplete information about the economic environment. It shows that agents' learning and the dynamics of the...
Persistent link: https://www.econbiz.de/10010283511
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How well does sticky information explain the dynamics of inflation, output, and real wages?
Carrillo, Julio A. - In: Journal of Economic Dynamics and Control 36 (2012) 6, pp. 830-850
This paper finds that a model with sticky information is less successful than a standard model featuring nominal rigidities, inflation indexation, and habits in generating the dynamics triggered by technology shocks, as estimated by a vector autoregression using U.S. macroeconomic data. The real...
Persistent link: https://www.econbiz.de/10010871046
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More hedging instruments may destablize markets
Brock, William A.; Hommes, Cars H.; Wagener, Florian … - 2008
This paper formalizes the idea that more hedging instruments may destabilize markets when traders are heterogeneous and adapt their behavior according to experience based reinforcement learning. We investigate three different economic settings, a simple mean-variance asset pricing model, a...
Persistent link: https://www.econbiz.de/10011349702
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More Hedging Instruments may destablize Markets
Brock, William; Hommes, Cars; Wagener, Florian - 2006
This paper formalizes the idea that more hedging instruments may destabilize markets when traders are heterogeneous and adapt their behavior according to experience based reinforcement learning. We investigate three different economic settings, a simple mean-variance asset pricing model, a...
Persistent link: https://www.econbiz.de/10010325451
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More Hedging Instruments may destablize Markets
Brock, William; Hommes, Cars; Wagener, Florian - Tinbergen Institute - 2006
This paper formalizes the idea that more hedging instruments may destabilize markets when traders are heterogeneous and adapt their behavior according to experience based reinforcement learning. We investigate three different economic settings, a simple mean-variance asset pricing model, a...
Persistent link: https://www.econbiz.de/10005795568
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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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The Effects of Heterogeneity in Price Setting on Price and Inflation Inertia
Carvalho, Carlos Viana de - Econometric Society - 2004
This paper analyzes the implications of heterogeneity in price setting for both price and inflation inertia. Standard … only ex-post heterogeneity. While it is known that these models have different implications in terms of the dynamic effects … of monetary shocks, the role of heterogeneity has not yet been properly explored. In a simple framework, this paper …
Persistent link: https://www.econbiz.de/10005328863
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The dynamics of households' stock market beliefs
von Gaudecker, Hans-Martin; Wogrolly, Axel - 2019
We analyse a long panel of households’ stock market beliefs to gain insights into the nature of their expectations formation processes. We classify respondents into one of five groups based on their data and estimate group-wise models of expectations formation. Two of the groups are at...
Persistent link: https://www.econbiz.de/10012018293
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Heterogeneity of beliefs and information rigidity in the crude oil market: Evidence from survey data
Czudaj, Robert - 2021
This paper assesses information contained in the micro dataset of the ECB Survey of Professional Forecasters regarding quarterly Brent crude oil price forecasts. We examine the expectations building mechanism by referring to the processing of information and confirm the presence of information...
Persistent link: https://www.econbiz.de/10012669291
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On the fragility of sunspot equilibria under learning and evolutionary dynamics
Berardi, Michele - In: Journal of Economic Behavior & Organization 112 (2015) C, pp. 251-265
In this article, we investigate the possibility of sunspot equilibria to emerge from a process of learning and adaptation on agents’ beliefs. We consider both finite state Markov sunspots and sunspots in autoregressive form, and derive conditions for the existence of an heterogeneous...
Persistent link: https://www.econbiz.de/10011263927