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Zoekresultaten

Zoekopdracht: faculteit: "FEB" en publicatiejaar: "2009"

AuteursP. Heemeijer, C. Hommes, J. Sonnemans, J. Tuinstra
TitelPrice stability and volatility in markets with positive and negative expectations feedback: an experimental investigation
TijdschriftJournal of Economic Dynamics & Control
Jaargang33
Jaar2009
Nummer5
Pagina's1052-1072
ISSN01651889
FaculteitFaculteit Economie en Bedrijfskunde
Instituut/afd.FEB: Amsterdam School of Economics Research Institute (ASE-RI)
SamenvattingThe 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 behavior 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.

Keywords: Market behavior; Coordination; Expectations feedback; Experimental economics

JEL classification codes: D02; G12; C92
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