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| 02424cam 2200361zi 4500 |
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| 001 | 9.877352 |
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| 003 | CaOODSP |
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| 005 | 20221107164943 |
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| 006 | m go d f |
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| 007 | cr |n||||||||| |
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| 008 | 190801t20192019oncd |ob f000 0 eng d |
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| 040 | |aCaOODSP|beng|erda|cCaOODSP |
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| 043 | |an-cn--- |
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| 086 | 1 |aFB3-5/2019-27E-PDF |
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| 100 | 1 |aEvans, George, |eauthor. |
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| 245 | 10|aAre long-horizon expectations (de-)stabilizing? : |btheory and experiments / |cby George Evans, Cars Hommes, Bruce McGough and Isabelle Salle. |
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| 264 | 1|a[Ottawa] : |bBank of Canada = Banque du Canada, |c2019. |
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| 264 | 4|c©2019 |
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| 300 | |a1 online resource (ii, 61 pages) : figures. |
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| 336 | |atext|btxt|2rdacontent |
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| 337 | |acomputer|bc|2rdamedia |
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| 338 | |aonline resource|bcr|2rdacarrier |
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| 490 | 1 |aBank of Canada staff working paper, |x1701-9397 ; |v2019-27 |
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| 500 | |a"August 2019." |
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| 504 | |aIncludes bibliographical references (pages 32-34) . |
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| 520 | |a"We consider boundedly rational agents who do not plan over the infinite future but make trading plans at a finite, arbitrary horizon. We investigate the role of that horizon in the price dynamics of an asset in a Lucas tree model. We then design a laboratory experiment to test our theoretical predictions against the behaviors of human subjects. Short-horizon markets are prone to substantial and prolonged deviations from rational expectations (RE). By contrast, markets populated by even a modest share of long-horizon forecasters exhibit convergence towards the fundamental price. Longer-horizon forecasts do display more heterogeneity and thus some departure from RE; however this same heterogeneity also prevents the coordination of subjects on wrong anchors—a pattern of behavior that leads to mispricing in short-horizon markets. Long-horizon forecasts are well-described by adaptive learning, which delivers convergence to RE equilibrium, while short-horizon forecasts exhibit destabilizing trend-chasing"--Abstract. |
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| 692 | 07|2gccst|aMarkets |
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| 700 | 1 |aHommes, Carsien Harm, |eauthor. |
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| 700 | 1 |aMcGough, Bruce, |eauthor. |
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| 700 | 1 |aSalle, Isabelle, |eauthor. |
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| 710 | 2 |aBank of Canada. |
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| 830 | #0|aStaff working paper (Bank of Canada)|x1701-9397 ; |v2019-27.|w(CaOODSP)9.806221 |
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| 856 | 40|qPDF|s3.37 MB|uhttps://publications.gc.ca/collections/collection_2019/banque-bank-canada/FB3-5-2019-27-eng.pdf |
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