Rational route to randomness

• 成果类型: Article
• 署名作者: Brock, WA; Hommes, CH
• 署名单位: Vrije Universiteit Amsterdam; University of Amsterdam
• 刊物名称: ECONOMETRICA
• ISSN/ISSBN: 0012-9682
• DOI: 10.2307/2171879
• 发表日期: 1997
• 页码: 1059-1095
• 关键词: business cycles; DYNAMICS; MODEL; BEHAVIOR; systems

摘要

The concept of adaptively rational equilibrium (A.R.E.) is introduced. Agents adapt their beliefs over time by choosing from a finite set of different predictor or expectations functions. Each predictor is a function of past observations and has a performance or fitness measure which is publicly available. Agents make a rational choice concerning the predictors based upon their past performance. This results in a dynamics across predictor choice which is coupled to the equilibrium dynamics of the endogenous variables. As a simple, but typical, example we consider a cobweb type demand supply model where agents can choose between rational and naive expectations. In an unstable market with (small) positive information costs for rational expectations, a high intensity of choice to switch predictors leads to highly irregular equilibrium prices converging to a strange attractor. The irregularity of the equilibrium time paths is explained by the existence of a so-called homoclinic orbit and its associated complicated dynamical phenomena. Thus local instability and global complicated dynamics may be a feature of a fully rational notion of equilibrium.