Evolutionary Selection of Individual Expectations and Aggregate Outcomes in Asset Pricing Experiments

• 成果类型: Article
• 署名作者: Anufriev, Mikhail; Hommes, Cars
• 署名单位: University of Technology Sydney; University of Amsterdam
• 刊物名称: AMERICAN ECONOMIC JOURNAL-MICROECONOMICS
• ISSN/ISSBN: 1945-7669
• DOI: 10.1257/mic.4.4.35
• 发表日期: 2012
• 页码: 35-64
• 关键词: behavioral heterogeneity; rational-expectations; bubbles; volatility; MARKETS; fundamentals; prices; routes; MODEL

摘要

In recent learning to forecast experiments (Hommes et al. 2005), three different patterns in aggregate price behavior have been observed: slow monotonic convergence, permanent oscillations, and dampened fluctuations. We show that a simple model of individual learning can explain these different aggregate outcomes within the same experimental setting. The key idea is evolutionary selection among heterogeneous expectation rules, driven by their relative performance. The out-of-sample predictive power of our switching model is higher compared to the rational or other homogeneous expectations benchmarks. Our results show that heterogeneity in expectations is crucial to describe individual forecasting and aggregate price behavior. (JEL C53, C91, D83, D84, G12)