Heterogeneous beliefs and routes to chaos in a simple asset pricing model
In: Journal of economic dynamics & control, Band 22, Heft 8-9, S. 1235-1274
ISSN: 0165-1889
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In: Journal of economic dynamics & control, Band 22, Heft 8-9, S. 1235-1274
ISSN: 0165-1889
In: Handbook of Computational Economics volume 4
Front Cover -- Handbook of Computational Economics -- Copyright -- Contents -- Contributors -- Introduction to the Series -- Introduction to the Handbook of Computational Economics, Volume 4, Heterogeneous Agent Modeling -- 1 Introduction -- 2 Macroeconomics -- 3 Finance -- 4 Experiments -- 5 Networks -- 6 Other -- Acknowledgments -- References -- Part 1 Macroeconomics -- 1 Heterogeneous Expectations and Micro-Foundations in Macroeconomics -- 1 Introduction -- 2 Expectations Operators and Bounded Rationality -- 2.1 Expectations Operators -- 2.2 The Economic Environment -- 2.3 Bounded Optimality -- 2.3.1 Rational Expectations -- 2.3.2 The Shadow-Price Approach -- 2.3.3 The Shadow-Price Approach in the Linearized Model -- 2.3.4 The Euler Equation Approach in the Linearized Model -- 2.3.5 The Finite Horizon Approach in the Linearized Model -- 2.3.6 The In nite Horizon Approach in the Linearized Model -- 2.3.7 A Nod to Value Functions -- 2.3.8 A Defense of Anticipated Utility -- 2.4 Aggregating Household Decision Rules -- 3 Equilibria with Heterogeneous Expectations -- 3.1 Extrinsic Heterogeneity -- 3.2 Rationally Heterogeneous Expectations -- 3.2.1 Predictor Selection -- 3.2.2 Heterogeneous Beliefs and Economic Dynamics: Stability Reversal -- 3.3 Intrinsic Heterogeneity -- 4 Asset-Pricing Applications -- 4.1 Regime-Switching Returns -- 4.2 Bubbles with Rationally Heterogeneous Expectations -- 4.3 Restricted Perceptions and Endogenous Fluctuations -- 4.4 Related Literature -- 5 Monetary Applications -- 5.1 A Monetary Search Model with Heterogeneous Expectations -- 5.2 Heterogeneous Beliefs and Bargaining -- 5.3 Equilibrium with Heterogeneous Beliefs -- 5.4 Uncertainty and Welfare -- 5.5 Related Literature -- 6 DSGE Applications -- 6.1 Rationally Heterogeneous Expectations and Monetary Policy Rules
In: Handbooks in economics 13
In: Handbook of Computational Economics Volume 4
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In: Journal of economic dynamics & control, Band 87, S. 173-205
ISSN: 0165-1889
In: The economic journal: the journal of the Royal Economic Society, Band 127, Heft 605, S. F581-F609
ISSN: 1468-0297
In: Global Analysis of Dynamic Models in Economics and Finance, S. 229-287
In: Journal of economic dynamics & control, Band 29, Heft 6, S. 1043-1072
ISSN: 0165-1889
In: Journal of economic dynamics & control, Band 24, Heft 5-7, S. 761-798
ISSN: 0165-1889
In: Journal of economics, Band 54, Heft 2, S. 157-169
ISSN: 1617-7134
In: Springer eBook Collection
This book offers insight into the current developments in mathematical economics. The book is intended for a broad audience and technicalities are kept to a minimum. The issues addressed include general equilibrium, price competition, auctions, environmental policy, networks, dynamic (in)stability and bounded rationality. Moreover, the book contains a survey and appraisal of the work of Claus Weddepohl, to whom the volume is dedicated. In his academic career, Claus Weddepohl made important contributions to the development of mathematical economics. He did so in his own writings on general equilibrium theory, the theory of markets and on economic dynamics. He was also a stimulating teacher and inspired the scientific research of many of his colleagues
In: Tinbergen Institute Discussion Paper 2021-096/VI
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In: Bao, T., Hommes, C., & Pei, J. (2021). Expectation Formation in Finance and Macroeconomics: a Review of New Experimental Evidence. Journal of Behavioral and Experimental Finance, 100591.
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We develop the first agent-based model (ABM) that can compete with and in the long run significantly outperform benchmark VAR and DSGE models in out-of-sample forecasting of macro variables. Our ABM for a small open economy uses micro and macro data from national sector accounts, input-output tables, government statistics, and census data. The model incorporates all economic activities as classified by the European System of Accounts as heterogeneous agents. The detailed structure of the ABM allows for a breakdown into sector level forecasts. Potential applications of the model include stress-testing and predicting the effects of monetary or fiscal macroeconomic policies.
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