经济学中的行为研究

经济学的行为研究总的来说遵循由隐含的、先验的幕后假设逐步走向台前的路径.以对主流经济学的经济人行为假设的修正为起点,行为研究的枝蔓逐渐扩散开来,并在行为经济学、实验经济学和制度经济学等分支中扎根,从多角度认识经济行为的细微末节,将经济学研究推向更为微观的领域,逐步实现向有限理性的真实经济活动面貌回归.     

Inflation targeting and inflation expectations in Mexico

In this article we analyse inflation expectations in Mexico. After a review of the theoretical and empirical literature, we apply unit root, normality and cointegration tests to the data provided by Banco de México (Banxico) in the Survey on the Expectations of the Private Sector Economics Specialists. Our results reject the null hypothesis of normality for inflation expectations over the period 2004:01–2011:12. The exchange rate has become one of the most relevant variables in the transmission mechanism of monetary policy in a small open economy. In this regard, we show the existence of a long-run relationship between nominal exchange rate and interest rate where inflation expectations matter for long-term dynamics.     

Recent topics in Applied Financial Economics

This note discusses topics concerning recent evolutions in financial economics research. It focuses in particular on the progress of quantitative finance and applied economics in the context of the global financial crisis. To this end, I examine various important topics in Economics and Finance and discuss several empirical studies on the statistical properties of macroeconomic and financial data through the application of different econometric methodologies. I analyse their empirical findings and discuss their conclusions.     

A study of zero-out auctions: testbed experiments of a process of allocating private rights to the use of public property

Summary This paper applies an experimental testbed methodology to the evaluation of a proposed mechanism for allocating the right to land at the New York airports. The mechanism is called a zero-out auction because it is supposed to allocate the rights efficiently like an auction while leaving all of the consumer's surplus with the buyers (as opposed to allocating some to the seller as would be the case with an ordinary auction). A new behavioral hypothesis is introduced to account for limited rationality of individuals and unusual behaviors of the process. The axiom, called theunbiased expectations hypothesis, does a good job of modeling individual behavior in the context of a game model.We acknowledge the financial support of the National Science Foundation and the Caltech Laboratory for Experimental Economics and Political Science. Comments by David Grether, John Ledyard, Michael Levine, Jennifer Reinganum, and Richard Sutch have been very helpful.     

A panel data model for subjective information on household income growth

Subjective expectations about future income changes are analyzed, using household panel data. The models used are extensions of existing binary choice panel data models to the case of ordered response. We consider static models with random and fixed individual effects. We also look at a dynamic random effects model which includes a measure for permanent and transitory income. We find that income change expectations strongly depend on realized income changes in the past: those whose income fell, are more pessimistic than others, while those whose income rose are more optimistic. Expected income changes are also significantly affected by employment status, family composition, permanent income, and past expectations. Expectations are then compared to the head of household’s ex post perception of the realized income change for the same period. The main finding is that rational expectations are rejected, and that in particular, households whose income has decreased in the past underestimate their future income growth.     

Incorporating research findings in the economics syllabus: evidence on genuine sociality from Italy and the UK

Economics education is proving slow in incorporating into the syllabus the genuine advances made in economics research in the last few decades. As economics education relies primarily on the single approach of neoclassical economics, whilst recent advances in research have been marked by a wide variety of approaches, many of which are interdisciplinary, the methodological divide between education and research is growing wider. We attempt to measure how keen students are to incorporate research findings in the syllabus by developing a questionnaire which introduces undergraduate students in Italy and the U.K. to key findings in the research literature on genuine sociality, an area in which the methodological divide is very noticeable. Students display moderate support for being taught the material on genuine sociality. Students who wish to incorporate genuine sociality in the syllabus tend to be older, value virtue and have a religion.     

A contribution to duality theory,applied to the measurement of risk aversion

This paper determines the precise connection between the curvature properties of an objective function and the ray-curvature properties of its dual. When the objective function is interpreted as a Bernoulli or cardinal utility function, our results characterize the relationship between an agent’s attitude towards income risks and her attitude towards risks in the underlying consumption space. We obtain these results by developing and applying a number of representation theorems for concave functions.The work of Juan E. Martínez-Legaz has been supported by the Spanish Ministry of Science and Technology and the FEDER, project BEC2002-00642, and by the Departament d’Universitats, Recerca i Societat de la Informació, Direcció General de Recerca de la Generalitat de Catalunya, project 2001SGR-00162. He also thanks the Barcelona Economics Program of CREA for its support. John Quah would like to acknowledge with gratitude the financial support of the ESRC (grant number R000271171). He would also like to thank the Department of Economics at UC Berkeley, whose hospitality he enjoyed while completing this project. Both authors would like to thank Simon Cowan for pointing the way to some important references. They are also very grateful to the referee whose insightful suggestions led to a much improved paper     

Inflation literacy and inflation expectations: Evidence from Austrian household survey data

Inflation expectations are known to be quite heterogeneous across agents. We investigate whether this heterogeneity is primarily due to differences in people’s understanding of the inflation process and of the goals and intentions of the central bank. Using micro data from a survey conducted among 2000 Austrian households, we construct an indicator of “inflation literacy” from several questions on people’s knowledge about different aspects of inflation. We find that this indicator helps explain both the level and the uncertainty of inflation expectations: Households with relatively higher levels of inflation literacy tend to have lower and more accurate short-term and long-term inflation expectations. Interestingly, however, they are less certain about their inflation expectations than people with lower levels of inflation literacy. We also find that people’s trust in the central bank and in its ability to maintain price stability significantly dampens their inflation expectations.     

Estimation of a simple class of multivariate rational expectations models: A test of the new classical model at a sectoral level

This paper extends the results obtained by Pagan (1984) and Turkington (1985) for single equation rational expectations (RE) models to multivariate RE models and shows that the errorsin-variables method and the substitution method discussed in Wickens (1982) lead to exactly the same likelihood function. The paper also considers multivariate RE models with unanticipated variables and includes an empirical application to the problem of testing the natural rate-rational expectations (NR-RE) hypothesis at the disaggregate level using U.S. data over the period 1955–1985.     

Expected utility and the siegel paradox: A generalization

It was recently shown by Sinn that, under certain conditions, because of the Siegel paradox, even risk-averse agents can find speculation on forward currency markets attractive. His assumptions are that the spot and forward rates are identically distributed and statistically independent and that the agents' coefficients of relative risk aversion are constant and inferior to unity. We show that both assumptions of statistical independence and constant relative risk aversion can be dramatically relaxed.Thanks are due to H.-W. Sinn, W. T. Epps, and an anonymous referee for useful comments. Thon would like to thank the Department of Economics and The Center for Law and Economics of the University of Miami for research support, and the Prof. W. Keilhau's Memorial Fund for financial support.     

Inflation expectations of Brazilian consumers: an analysis based on the FGV survey

ABSTRACT

An accurate assessment of inflation expectations is crucial for the management of monetary policies. However, expectations are not directly observed and are hence normally inferred either from the interest rate structure or from surveys of professional forecasters. Alternatively, a direct measure may be obtained from consumer surveys. The aim of this paper is to study the formation of inflation expectations in Brazil, using a novel dataset based on the FGV/IBRE consumer survey. Basing our model on the rational inattention hypothesis, we find that individual heterogeneity plays a very significant role in shaping individual expectations; also, Brazilians adjust expectations to current inflation and to a fixed reference value, while professional forecasts do not play a very relevant role.     

Beauty contest,bounded rationality,and sentiment pricing dynamics

We present a dynamic asset pricing model that incorporates investor sentiment, bounded rationality and higher-order expectations to study how these factors affect asset pricing equilibrium. In the model, we utilize a two-period trading market and investors make decisions based on the heterogeneous expectations principle and the “sparsity-based bounded rational” sentiment. We find that bounded rationality results in mispricing and reduces it in next period. Investor sentiment produces more significant effects than private signals, optimistic investor sentiment increases hedging demand, thus causing prices to soar. Higher-order investors are more rational and attentive to the strategies of other participants rather than private signals. This model also derives the dampening effect of higher-order expectations to price volatility and the heterogeneity expectation depicts inconsistent investor behavior in financial markets. In the model, investors' expectations about future price is distorted by their sentiment and bounded rationality, so they obtain a biased mean from the signal extraction.     

Eliciting Stock Market Expectations: The Effects of Question Wording on Survey Experience and Response Validity

Expectations about stock market movements are an important factor in models of investments and savings. To better understand consumers' financial behavior, economic surveys such as the Health and Retirement Study (HRS) ask participants to report expectations about the stock market. However, readability statistics suggest that the HRS' stock market expectations questions use relatively complex wording, which may contribute to their relatively high rates of missing responses. Here, the authors build on survey design research to improve the readability of these questions. In 2 experiments using national online panels, they test whether revising stock market expectation questions to reduce their difficulty affects respondents' (1) survey experience, as measured by percent of missing answers and ratings of question clarity and difficulty, and (2) response validity, as assessed by respondents' confidence in their answer and comparisons between expectations and stock market outcomes. In both studies, the authors' revisions improved survey experience. Unfortunately, revisions also decreased the perceived (Study 1) and actual (Study 2) validity of responses. The authors discuss implications of question revisions for the design of economic surveys.     

基于投资主体行为差异的金融经济学分析

经典金融经济学假定投资者是同质的,无法对证券市场的产生、市场价格的随机性和波动性作出满意的解释。证券市场投资主体分为个人投资者和机构投资者,个人投资者追求效用最大化,效用取决于风险和收益;机构投资者追求利润最大化。投资主体行为差异是证券市场产生和发展的原因。     

EVIDENCE ON THE RELATIONSHIP BETWEEN ECONOMICS AND CRITICAL THINKING SKILLS

This research provides empirical support for the hypothesis that learning economics increases a student's critical thinking skills. Using the short form of the Watson-Glaser Critical Thinking Appraisal (WGCTA-S) as our measure of critical thinking skills, we find that students who gain a high level of economic understanding in their introductory economics class, as measured by the Test of Understanding College Economics (TUCE), have statistically significant gains in their WGCTA-S scores. Students who spend more time taking classes and are more fully engaged in the university experience also have greater gains in critical thinking. These results lend support to the idea that introductory economics courses can work in concert with other university level courses, especially within the context of a full-time curriculum, to enhance critical thinking skills. ( JEL A22)     

When did inflation expectations in the Euro area de-anchor?

Long-term inflation expectations in the Euro area (EA) remained well anchored during the global financial crisis. Less is known about the following period. By investigating whether inflation expectations have become sensitive to the arrival of economic news, this article empirically analyzes the behavior of inflation expectations in the EA during the most recent period. It finds evidence that the de-anchoring of expectations started in December 2011 and never reversed. This is in line with the more aggressive stance held by the European Central Bank (ECB) in the following months as well as with the pattern of ECB Professional Forecasters’ expectations.     

Institutions and Values: A Methodological Inquiry

Economics entails a study of institutions regardless of the school of thought, and it is inherently an analysis of institutional transformation with a vision toward creating positive social change through economic arrangements. However, the conceptions of institutions, identity of individuals, human nature as it pertains to economics, identification of the economic sphere, its concerns, and studying its evolution, all vary substantively across schools of thought. We examine the following issues: (i) the differences in the ontological identity of the individual between heterodox approaches, new institutional economics (NIE), and the neoclassical school; (ii) the central point of divergence between original institutional economics (OIE) and NIE, despite both schools being committed to the project of an “institutionally” centered approach to economics; and (iii) the absence of a cohesive project to explore foundational theoretical congruencies among those heterodox approaches that have a shared vision, values, and a common ontological identity of socially embedded people.     

Interactive expectations

In modeling expectation formation, economic agents are usually viewed as forming expectations adaptively or in accordance with some rationality postulate. We offer an alternative nonlinear model where agents exchange their opinions and information with each other. Such a model yields multiple equilibria, or attracting distributions, that are persistent but subject to sudden large jumps. Using German Federal Statistical Office economic indicators and German IFO Poll expectational data, we show that this kind of model performs well in simulation experiments. Focusing upon producers' expectations in the consumption goods sector, we also discover evidence that structural change in the interactive process occurred over the period of investigation (1970–1998). Specifically, interactions in expectation formation seem to have become less important over time. RID="*" ID="*"We would like to thank Ulrich Witt, Director of the Evolutionary Economics Unit, The Max Planck Institute for Research into Economic Systems, Jena, Germany, for providing the intellectual stimulus for this project and arranging the necessary financial support from the Max Planck Society to facilitate our collaboration. Thanks are also due to the IFO Institute for providing the data for this study. However, the usual caveat applies.     

日本马克思主义经济学与现实问题研究态势

笔者主要以2003年日本经济理论学会第51届大会的论文为依据，先描述其马克思主义经济学研究的若干特点与态势，然后综述关于社会经济学和规范理论，全球化和元理论，资本主义是否能够存在下去，是资本主义控制市场还是市场控制资本主义，全球一体化和国际金融体系的不稳定化，全球经济一体化进程与阻碍，以及银行衰退论和市场原教旨主义金融行政等具体问题的理论观点。