Comparing Behavioural Heterogeneity Across Asset Classes

Arbeitspapier

We estimate a generic agent-based model in which agents have heterogeneous beliefs about the future price to see to what extent behaviour differs across assets, and what this implies for market stability. We find evidence for behavioural heterogeneity for all asset classes, except for equities. Heterogeneity is especially pronounced for macro-economic variables. Agents update their beliefs frequently in financial markets, and only gradually in the case of macro-economic variables. Consequently, we find that the probability of behavioural bubbles is substantially higher for the macro-economic variables than for financial assets.

Angaben zum Objekt

• ISBN: 978-82-7553-990-6
• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: Working Paper ; No. 12/2017

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Price Level; Inflation; Deflation ; Asset Pricing; Trading Volume; Bond Interest Rates ; International Financial Markets
• Thema: financial markets ; heterogeneous expectations ; market stability

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Hommes, Cars H. ; Zwinkels, Remco C.J. ; ter Ellen, Saskia
• Ereignis: Veröffentlichung
• (wer): Norges Bank
• (wo): Oslo
• (wann): 2017

Weitere Informationen

• Handle: http://hdl.handle.net/10419/210122
• Letzte Aktualisierung: 10.03.2025, 11:43 MEZ