Adaptive Learning in an Expectational Difference Equation with Several Lags: Selecting among Learnable REE

It is demonstrated that adaptive learning in the least squares sense may be incapable of satisfactorily reducing the number of attainable equilibria in a rational expectations model when focusing on the forward‐solutions to the model. The model examined, as an illustration, is a basic asset pricing model for exchange rate determination that is augmented with technical trading in the currency market in the form of moving averages since it is the most commonly used technique according to questionnaire surveys. The forward‐solutions to such a model are preferable to the backward‐solutions that are normally utilized since announcement effects is an important feature in currency trade. Because of technical trading in foreign exchange, the current exchange rate depends on j _max lags of the exchange rate, meaning that the model has j _max+1 rational expectations equilibria, where several of them are adaptively learnable in the least squares sense. However, since past exchange rates should not affect the current exchange rate when technical trading is absent, it is possible to single out a unique equilibrium among the adaptively learnable equilibria that is economically meaningful. It is worth noting that the model examined can also be viewed as a model for stock price determination in which the forward‐solutions to the model are preferable to the backward‐solutions since the importance of announcement effects is a common characteristic for currency and stock markets.     

Inflation Targeting,Recursive Inattentiveness,and Heterogeneous Beliefs

We consider a monetary authority that provides an explicit inflation target in order to align expectations with the policy objective. However, biased perceptions of the target may arise due to imperfect information flows. We allow agents to revise expectations over time and we model their recursive choice among prediction strategies as an optimization problem under rational inattention. We then investigate whether a simple policy rule can steer the economy toward the targeted equilibrium. Our findings suggest that determinacy under rational expectations may not be sufficient to reach the target. Instead, monetary policy should be fine‐tuned to correct agents' biased beliefs.     

异质性预期、投资者行为与房价波动：上海和广州的双城记?

房地产市场中存在大量的投资者,其市场行为会使房价出现大幅的波动,从而引起市场不稳定。文章在引入投资者异质性预期假设的基础上,构建了包含房地产消费者、投资者、供给者在内的房地产市场均衡模型,分析了房地产市场中基本面型投资者和趋势型投资者的异质性行为对房价变动的影响,并利用上海和广州两个一线城市的实际数据进行了对比分析。研究结果表明：在房地产市场中,两类投资者对于未来房价不同的预期以及投资行为会引起房价的变动;上海投资者的行为整体上会使上海的房价始终处于不断上涨的趋势中,而广州投资者的行为会随着投资策略的转变而使静态下的“整体上推动房价趋势型变化”转变为“整体上将房价‘拉回’基本面价格”;房地产市场中的投资者占比会显著影响房价的变动趋势,当基本面型投资者占比上升时,房价偏离度和房价变动率降低,而当这类投资者占比达到峰值时,房价会出现拐点;投资者之间的策略转换速度也会通过引起基本面型投资者占比的变化,引起房价的频繁波动,而且策略转换速度越快,房价波动越频繁。     

On economic applications of the genetic algorithm: a model of the cobweb type

This paper explores the idea of using artificial adaptive agents in economic theory. In particular, we use Genetic Algorithms (GAs) to model the learning behavior of a population of adaptive and boundedly rational agents interacting in an economic system. We analyze the behavior of a GA in two versions of a model of the cobweb-type, one in which firms make only quantity choices, and the other one in which firms first decide to exit or to stay in the market, and subsequently decide how much to produce. We present simulations with different coding schemes and interpret the rather surprising differences between the results for different setups by employing the mathematical theory for GAs with state-dependent fitness functions. In particular, we explain the relationship between coding and convergence properties of GAs.     

环境分权对低碳发展的异质性影响——基于省级面板数据的实证研究

优化配置生态环境治理权责是实现绿色低碳发展的基础支撑。立足于我国省级面板数据,采用局部性分析视角揭示环境分权对低碳发展的异质性影响。基于莫兰特征向量的空间滤波随机效应模型表明,尽管两者之间非空间异质性不显著,但存在显著的空间异质性,呈现出“东北-西南”方向性差异,即东北方向倾向于加剧效应,而西南方向则表现为抑制效应。该发现回应了全局性分析中存在的“效应抵消”问题,同时也为当前环境治理体制改革提供了更具地域性的思路,有助于避免政策的“一刀切”问题。     

基于演化博弈论的知识联盟动态复杂性分析

知识联盟是企业间为共同创造知识和进行知识共享而建立的联盟。本文从演化博弈论的角度,探讨了进行知识联盟的企业交互活动的复杂性可能对异质知识流的扩散和知识联盟稳定性造成多重可能结果。分析表明：一个企业实施知识流的更新（如建立知识联盟）和顺利扩散,取决于不同因素的作用,并表现出不同的复杂演化结果。对于已建立知识联盟的企业来说。这些不同的结果会对知识联盟的稳定性产生影响。如果企业最终都达到主动变流知识的策略选择状态,则异质知识得以在企业间扩散,从而强化企业间的知识联盟,但如果企业最终没有达到这一状态,则企业知识联盟的稳定性将被削弱。     

基于多Agent的装备信息集成技术研究

为了解决在网络环境中装备信息的异构集成与共享问题,本文提出了基于多Agent的装备信息集成系统框架模型。该模型运用本体来实现装备领域各异构信息在语义上的共享;运用多Agent系统的自主能力、社交能力、反映能力和智能行为,使该模型具有了良好的开放性、集成性和自适应性,提高了装备信息集成系统的整体性能和实用性。     

An Equilibrium Approach to the Aggregation of Beliefs

This paper presents a new answer to the old question of how to aggregate individual beliefs. We construct a model which allows agents to take arbitrage opportunities against the aggregated belief by making contingent claims against the states, and the aggregator (market maker) regulates the probability of states. When all claims from the agents are mutually covered for every realization of the state, an aggregation of individual beliefs is thus obtained. We prove the existence and uniqueness of the equilibrium aggregation, and also show that the aggregate belief lies in the convex hull of individual beliefs. This model allows us to address some important problems such as how individual agent’s attitude toward risk and wealth endowment affect the outcome of the aggregation process, and whether the aggregate belief satisfies the well-known properties like equal treatment.     

A Closed Form Characterization of the Stationary Outcome in Multilateral Bargaining

In this paper we consider infinite horizon multilateral bargaining with alternate offers. We prove that there exists only one stationary subgame perfect equilibrium outcome and it corresponds to the unique invariantmeasure of a column stochastic matrix. We characterize this stationary subgame perfect equilibrium outcome in a closed form, and also extend the approach to the multilateral bargaining with random moves.