Learning Equilibria

Bullard, James B.

doi:10.1006/jeth.1994.1077

Cited by 93 publications

(111 citation statements)

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“…where # is the rate of growth of the money stock, used by the government to finance 1 The general structure of the OLG model is identical to that of the model studied by Bullard (1994), Schönhofer (1999) and Tuinstra and Wagener (2007). 2 Note that in period t + 1 the old generation will use all of its income to buy consumption goods against the market price.…”

Section: The Overlapping Generations Economymentioning

confidence: 99%

“…Bullard (1994), for example, studies a standard overlapping generations model with money growth, where economic agents believe that the inflation rate equals an unknown constant which they estimate by a least squares regression on past prices. This may lead to so-called learning equilibria: equilibrium paths that do not converge to the steady state, but that are characterized by endogenous fluctuations in inflation rates and agents beliefs.…”

Section: Introductionmentioning

confidence: 99%

“…The overlapping generations framework that we use is identical to the one studied by Bullard (1994) and Tuinstra and Wagener (2007). The only task of the participants in the experiment is to predict the next inflation rate, for 50 consecutive periods.…”

Section: Introductionmentioning

confidence: 99%

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An Experimental Study on Expectations and Learning in Overlapping Generations Models

Heemeijer

Hommes

Sonnemans

et al. 2012

Studies in Nonlinear Dynamics &Amp; Econometrics

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An experimental study on expectations and learning in overlapping generations models Heemeijer, P.; Hommes, C.H.; Sonnemans, J.H.; Tuinstra, J. Published in: Studies in Nonlinear Dynamics and Econometrics DOI:10. 1515/1558-3708.1944 Link to publication Citation for published version (APA):Heemeijer, P., Hommes, C. H., Sonnemans, J., & Tuinstra, J. (2012). An experimental study on expectations and learning in overlapping generations models. Studies in Nonlinear Dynamics and Econometrics, 16(4), [1]. DOI: 10.1515DOI: 10. /1558DOI: 10. -3708.1944 General rights It is not permitted to download or to forward/distribute the text or part of it without the consent of the author(s) and/or copyright holder(s), other than for strictly personal, individual use, unless the work is under an open content license (like Creative Commons). Disclaimer/Complaints regulationsIf you believe that digital publication of certain material infringes any of your rights or (privacy) interests, please let the Library know, stating your reasons. In case of a legitimate complaint, the Library will make the material inaccessible and/or remove it from the website. Please Ask the Library: http://uba.uva.nl/en/contact, or a letter to: Library of the University of Amsterdam, Secretariat, Singel 425, 1012 WP Amsterdam, The Netherlands. You will be contacted as soon as possible. AbstractA plethora of models of learning has been developed and studied in macro-economic models in recent years. In this paper we will try to discriminate between these learning models by running laboratory experiments with incentivized human subjects. Participants predict inflation rates for 50 successive periods in a standard overlapping generations model and are rewarded on the basis of their forecasting accuracy. The information set for each participant contains the past inflation rates and the participant's own past predictions which, in turn, determine the actual inflation rate. We consider two treatments, with a low and a high level of monetary growth, respectively. We find that the level of convergence to the monetary steady state is significantly lower and volatility of inflation rates higher in the second treatment. Constant gain learning algorithms, such as adaptive expectations with a low adjustment parameter, seem to provide a better description of the experimental data than decreasing gain algorithms, such as (ordinary) least squares learning. Moreover, many participants switch between prediction strategies during the experiment on the basis of poor performance of their initial prediction strategy. * We thank the participants to the Workshop on Interacting Agents on Nonlinear Dynamics in Macroeconomics, in Udine, Italy, June 9-11, 2010 and an anonymous referee for helpful comments and suggestions.Brought to you by | Universiteit van Amsterdam -UVA Universiteitsbibliotheek SZ

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Section: The Overlapping Generations Economymentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

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An Experimental Study on Expectations and Learning in Overlapping Generations Models

Heemeijer

Hommes

Sonnemans

et al. 2012

Studies in Nonlinear Dynamics &Amp; Econometrics

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“…Another part of the literature studies non-rational learning equilibria, explaining excess volatility, as e.g. in Bullard (1994), Hommes and Sorger (1998), Hommes and Rosser (2001) and Adam and Marcet (2011). This paper puts forth the notion of behaviorally rational expectations.…”

Section: Introductionmentioning

confidence: 96%

Behaviorally Rational Expectations and Almost Self-Fulfilling Equilibria

Hommes

2014

RBE

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“…Other recent work related to bounded rationality and expectation formation includes the rational belief equilibria in Kurz (1994), the pseudo rational learning in Marcet and Nicolini (2003), the expectational stability and adaptive learning rules in Honkapohja (1994, 1995), the perfect predictors in Böhm and Wenzelburger (1999), and the adaptive rational equilibrium dynamics in Hommes (1997, 1998). Instability of adaptive learning processes has been investigated, e.g., by Bullard (1994), Schönhofer (1999), and Tuinstra and Wagener (2007).…”

Section: Introductionmentioning

confidence: 99%

Consistency of Linear Forecasts in a Nonlinear Stochastic Economy

Hommes

Sorger

Wagener

2012

Global Analysis of Dynamic Models in Economics and Finance

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The notion of consistent expectations equilibrium is extended to economies that are described by a nonlinear stochastic system. Agents in the model do not know the nonlinear law of motion and use a simple linear forecasting rule to form their expectations. Along a stochastic consistent expectations equilibrium (SCEE), these expectations are correct in a linear statistical sense, i.e., the unconditional mean and autocovariances of the actual (but unknown) nonlinear stochastic process coincide with those of the linear stochastic process on which the agents base their beliefs. In general, the linear forecasts do not coincide with the true conditional expectation, but an SCEE is an 'approximate rational expectations equilibrium' in the sense that forecasting errors are unbiased and uncorrelated. Adaptive learning of SCEE is studied in an overlapping generations framework.

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Learning Equilibria

Cited by 93 publications

References 0 publications

An Experimental Study on Expectations and Learning in Overlapping Generations Models

An Experimental Study on Expectations and Learning in Overlapping Generations Models

Behaviorally Rational Expectations and Almost Self-Fulfilling Equilibria

Consistency of Linear Forecasts in a Nonlinear Stochastic Economy

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