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Query: faculty: "FEB" and publication year: "2007"

AuthorsP. Heemeijer, C. Hommes, J. Sonnemans, J. Tuinstra
TitlePrice stability and volatility in markets with positive and negative expectations feedback: an experimental investigation
PublisherUniversiteit van Amsterdam
PlaceAmsterdam
Year2007
Pages43
Title seriesCeNDEF Working Paper
Series number06-05
FacultyFaculty of Economics and Business
Institute/dept.FEB: Amsterdam School of Economics Research Institute (ASE-RI)
Keywords-
AbstractThe evolution of many economic variables is affected by expectations that economic agents have with respect to the future development of these variables. We show, by means of laboratory experiments, that market behaviour depends to a large extent on whether realized market prices respond positively or negatively to average price expectations. In the case of negative expectations feedback, as in commodity markets, prices converge quickly to their equilibrium value, confirming the rational expectations hypothesis. In the case of positive expectations feedback, as is typical for speculative asset markets, large fluctuations in realized prices and persistent deviations from the benchmark fundamental price are likely. We estimate individual forecasting rules and investigate how these explain the differences in aggregate market outcomes.
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