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1.
  总被引:3,自引:0,他引:3  
This paper presents results from an experimental computer simulated stock market. In this market artificial intelligence algorithms take on the role of traders. They make predictions about the future, and buy and sell stock as indicated by their expectations of future risk and return. Prices are set endogenously to clear the market. Time series from this market are analyzed from the standpoint of well-known empirical features in real markets. The simulated market is able to replicate several of these phenomenon, including fundamental and technical predictability, volatility persistence, and leptokurtosis. Moreover, agent behavior is shown to be consistent with these features, in that they condition on the variables that are found to be significant in the time series tests. Agents are also able to collectively learn a homogeneous rational expectations equilibrium for certain parameters giving both time series and individual forecast values consistent with the equilibrium parameter values.  相似文献   

2.
Using the measure of risk aversion suggested by Kihlstrom and Mirman [Kihlstrom, R., Mirman, L., 1974. Risk aversion with many commodities. Journal of Economic Theory 8, 361–388; Kihlstrom, R., Mirman, L., 1981. Constant, increasing and decreasing risk aversion with many commodities. Review of Economic Studies 48, 271–280], we propose a dynamic consumption-savings–portfolio choice model in which the consumer-investor maximizes the expected value of a non-additively separable utility function of current and future consumption. Preferences for consumption streams are CES and the elasticity of substitution can be chosen independently of the risk aversion measure. The additively separable case is a special case. Because choices are not dynamically consistent, we follow the “consistent planning” approach of Strotz [Strotz, R., 1956. Myopia and inconsistency in dynamic utility maximization. Review of Economic Studies 23, 165–180] and also interpret our analysis from the game theoretic perspective taken by Peleg and Yaari [Peleg, B., Yaari, M., 1973. On the existence of a consistent course of action when tastes are changing. Review of Economic Studies 40, 391–401]. The equilibrium of the Lucas asset pricing model with i.i.d. consumption growth is obtained and the equity premium is shown to depend on the elasticity of substitution as well as the risk aversion measure. The nature of the dependence is examined. Our results are contrasted with those of the non-expected utility recursive approach of Epstein–Zin and Weil.  相似文献   

3.
The paper empirically estimates the financial transmission within and across bond and equity markets in the four largest global financial markets – the United States, the Euro area, Japan, and the United Kingdom. We argue that international bond and equity markets are highly interconnected both within and across asset classes in a globalized world, where the complex transmission process across various financial assets is not restricted to just the domestic market. This paper employs identification through generalized forecast error variance decompositions to estimate spillovers across four systemic markets in a Vector Autoregression (VAR) framework. We find that asset prices react most strongly to international shocks within the same asset class, but that there are also substantial international spillovers across asset classes. Rolling estimations analysis provides evidence that global asset markets have become more integrated and that the bilateral relationships change over time. Our results are robust to specifications that take into account the monetary policy stance and include foreign exchange markets.  相似文献   

4.
    
New evidence suggests that individuals “learn from experience,” meaning they learn from events occurring during their lives as opposed to the entire history of events. Moreover, they weigh more heavily recent events compared to events occurring in the distant past. This paper analyzes the implications of such learning for stock pricing in a model with finitely lived agents. Individuals learn about the rate of change of the stock price and of dividends using a weighted decreasing-gain algorithm. As a result of waves of optimism and pessimism, the stock price exhibits stochastic fluctuations around the rational expectations equilibrium. Conditional on the historical path of dividends, the model produces a price–dividend ratio which is in line with the evidence for the last century, except for the “dot-com” bubble in the 1990s.  相似文献   

5.
This paper adds persistent shocks into the adaptive learning expectation formation process in stochastic growth asset pricing production and endowment economies. These expectation shocks, designed to capture psychological elements which can arise from news, changes in sentiment, herding and bandwagon effects, generate waves of optimism and pessimism in equity price forecasts. The paper estimates parameters of the expectation shock and adaptive learning process with the method of simulated moments, and compares simulation results to U.S. economic and financial market stylized facts. Numerical results for both the estimated production and endowment economies show that the expectation shock model matches several of the stylized facts better than does a model that assumes rational expectations or adaptive learning alone.  相似文献   

6.
    
This paper investigates the impact of leverage and short-selling constraints on financial market stability. Investors׳ demand is modelled in a well-known asset pricing model with heterogeneous beliefs. In particular, I generalise the heterogeneous agents model of Brock and Hommes (1998) and Anufriev and Tuinstra (2013) to allow for leverage constraints as well as a short-selling tax. I consider two examples of adaptive belief systems describing the coevolution of prices and investors׳ beliefs. First, if the market is inhabited by fundamentalist and chartist traders, demand constraints have potential adverse effects and may restrict the stabilising fundamentalist strategy such that mispricing and price volatility increase. Second, if the market is inhabited by fundamentalists, optimists and pessimists with fixed beliefs, demand constraints drive down price volatility, but mispricing remains. The results suggest the stabilising effects of demand constraints in financial markets are limited. Only if asset prices are too high compared to fundamentals, policy makers should consider constraining leverage ratios in order to deflate financial bubbles.  相似文献   

7.
    
This paper investigates whether, and through which channel, the active use of credit derivatives changes bank behavior in the credit market, and how this channel was affected by the crisis of 2007–2009. Our principal finding is that banks with larger gross positions in credit derivatives charge significantly lower corporate loan spreads, while banks׳ net positions are not consistently related to loan pricing. We argue that this is consistent with banks passing on risk management benefits to corporate borrowers but not with alternative channels through which credit derivative use may affect loan pricing. We also find that the magnitude of the risk management effect remained unchanged during the crisis period of 2007–2009. In addition, banks with larger gross positions in credit derivatives cut their lending by less than other banks during the crisis and have consistently lower loan charge-offs. In sum, our study is suggestive of significant risk management benefits from financial innovations that persist under adverse conditions – that is, when they matter most.  相似文献   

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