Arbeitspapier
Behavioral Learning Equilibria
We propose behavioral learning equilibria as a plausible explanation of coordination of individual expectations and aggregate phenomena such as excess volatility in stock prices and high persistence in inflation. Boundedly rational agents use a simple univariate linear forecasting rule and correctly forecast the unconditional sample mean and first-order sample autocorrelation. In the long run, agents learn the best univariate linear forecasting rule, without fully recognizing the structure of the economy. The simplicity of behavioral learning equilibria makes coordination of individual expectations on such an aggregate outcome more likely. In a first application, an asset pricing model with AR(1) dividends, a unique behavioral learning equilibrium exists characterized by high persistence and excess volatility, and it is stable under learning. In a second application, the New Keynesian Phillips curve, multiple equilibria co-exist, learning exhibits path dep endence and inflation may switch between low and high persistence regimes.
- Language
-
Englisch
- Bibliographic citation
-
Series: Tinbergen Institute Discussion Paper ; No. 13-014/II
- Classification
-
Wirtschaft
Prices, Business Fluctuations, and Cycles: General (includes Measurement and Data)
Existence and Stability Conditions of Equilibrium
Search; Learning; Information and Knowledge; Communication; Belief; Unawareness
Expectations; Speculations
- Subject
-
Bounded rationality
Stochastic consistent expectations equilibrium
Adaptive learning
Excess volatility
Inflation persistence
- Event
-
Geistige Schöpfung
- (who)
-
Hommes, Cars
Zhu, Mei
- Event
-
Veröffentlichung
- (who)
-
Tinbergen Institute
- (where)
-
Amsterdam and Rotterdam
- (when)
-
2013
- Handle
- Last update
-
10.03.2025, 11:45 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Hommes, Cars
- Zhu, Mei
- Tinbergen Institute
Time of origin
- 2013
Other Objects (12)
From self-fulfilling mistakes to behavioral learning equilibria
Consumers Networks and Search Equilibria
Discretionary Policy, Multiple Equilibria, and Monetary Instruments
Behaviorally Rational Expectations and Almost Self-Fulfilling Equilibria
Kahneman and Tversky and the Origin of Behavioral Economics
Multiple Equilibria and Minimum Wages in Labor Markets with Informational Frictions and Heterogeneous Production Technologies
Reflexivity, Expectations Feedback and almost Self-fulfilling Equilibria: Economic Theory, Empirical Evidence and Laboratory Experiments
Quantity Constrained Equilibria
Who are the Behavioral Economists and what do they say?
Extreme Equilibria in a General Negotiation Model
Mutation-selection equilibria for the ultimatum game
All symmetric equilibria in differential games with public goods
From self-fulfilling mistakes to behavioral learning equilibria
Consumers Networks and Search Equilibria
Discretionary Policy, Multiple Equilibria, and Monetary Instruments
Behaviorally Rational Expectations and Almost Self-Fulfilling Equilibria
Kahneman and Tversky and the Origin of Behavioral Economics
Multiple Equilibria and Minimum Wages in Labor Markets with Informational Frictions and Heterogeneous Production Technologies
Reflexivity, Expectations Feedback and almost Self-fulfilling Equilibria: Economic Theory, Empirical Evidence and Laboratory Experiments
Quantity Constrained Equilibria
Who are the Behavioral Economists and what do they say?
Extreme Equilibria in a General Negotiation Model
Mutation-selection equilibria for the ultimatum game
All symmetric equilibria in differential games with public goods
From self-fulfilling mistakes to behavioral learning equilibria
Consumers Networks and Search Equilibria
Discretionary Policy, Multiple Equilibria, and Monetary Instruments
Behaviorally Rational Expectations and Almost Self-Fulfilling Equilibria
Kahneman and Tversky and the Origin of Behavioral Economics
Multiple Equilibria and Minimum Wages in Labor Markets with Informational Frictions and Heterogeneous Production Technologies
Reflexivity, Expectations Feedback and almost Self-fulfilling Equilibria: Economic Theory, Empirical Evidence and Laboratory Experiments
Quantity Constrained Equilibria
Who are the Behavioral Economists and what do they say?
Extreme Equilibria in a General Negotiation Model
Mutation-selection equilibria for the ultimatum game