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008190801t20192019oncd   |ob   f000 0 eng d
040 |aCaOODSP|beng|erda|cCaOODSP
043 |an-cn---
0861 |aFB3-5/2019-27E-PDF
1001 |aEvans, George, |eauthor.
24510|aAre long-horizon expectations (de-)stabilizing? : |btheory and experiments / |cby George Evans, Cars Hommes, Bruce McGough and Isabelle Salle.
264 1|a[Ottawa] : |bBank of Canada = Banque du Canada, |c2019.
264 4|c©2019
300 |a1 online resource (ii, 61 pages) : figures.
336 |atext|btxt|2rdacontent
337 |acomputer|bc|2rdamedia
338 |aonline resource|bcr|2rdacarrier
4901 |aBank of Canada staff working paper, |x1701-9397 ; |v2019-27
500 |a"August 2019."
504 |aIncludes bibliographical references (pages 32-34) .
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.
69207|2gccst|aMarkets
7001 |aHommes, Carsien Harm, |eauthor.
7001 |aMcGough, Bruce, |eauthor.
7001 |aSalle, Isabelle, |eauthor.
7102 |aBank of Canada.
830#0|aStaff working paper (Bank of Canada)|x1701-9397 ; |v2019-27.|w(CaOODSP)9.806221
85640|qPDF|s3.37 MB|uhttps://publications.gc.ca/collections/collection_2019/banque-bank-canada/FB3-5-2019-27-eng.pdf