Are long-horizon expectations (de-)stabilizing? Theory and experiments

• 成果类型: Article
• 署名作者: Evans, George W.; Hommes, Cars; McGough, Bruce; Salle, Isabelle
• 署名单位: University of Oregon; University of St Andrews; Tinbergen Institute; University of Amsterdam; Bank of Canada; University of Ottawa
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2022.08.002
• 发表日期: 2022
• 页码: 44-63
• 关键词: Learning; Long-horizon expectations; asset pricing; experiments

摘要

The impact of finite forecasting horizons on price dynamics is examined in a standard infinite-horizon asset-pricing model. Our theoretical results link forecasting horizon inversely to expectational feedback , and predict a positive relationship between expectational feedback and various measures of asset-price volatility. We design a laboratory experiment to test these predictions. Consistent with our theory, short-horizon markets are prone to substantial and prolonged deviations from rational expectations, whereas markets with even a modest share of long-horizon forecasters exhibit convergence. Longer-horizon forecasts display more heterogeneity but also prevent coordination on incorrect anchors - a pattern that leads to mispricing in short-horizon markets.(c) 2022 Elsevier B.V. All rights reserved.