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040 |aCaOODSP|beng|erda|cCaOODSP
0861 |aFB3-5/2021-33E-PDF
1001 |aAcharya, Sushant, |eauthor.
24514|aThe anatomy of sentiment-driven fluctuations / |cby Sushant Acharya, Jess Benhabib and Zhen Huo.
264 1|aOttawa, Ontario, Canada : |bBank of Canada = Banque du Canada, |c2021.
264 4|c©2021
300 |a1 online resource (iii, 43 pages) : |bcolour illustrations.
336 |atext|btxt|2rdacontent
337 |acomputer|bc|2rdamedia
338 |aonline resource|bcr|2rdacarrier
4901 |aStaff working paper = |aDocument de travail du personnel, |x1701-9397 ; |v2021-33
500 |a"Last updated: July 14, 2021."
504 |aIncludes bibliographical references (pages 30-33).
5203 |a"We show that sentiments—self-fulfilling changes in beliefs that are orthogonal to fundamentals—can drive persistent aggregate fluctuations under rational expectations in a beauty contest game. Such fluctuations can occur even in the absence of exogenous aggregate fundamental shocks. Moreover, sentiments alter the volatility and persistence of aggregate outcomes in response to fundamental shocks. We provide (i) necessary conditions under which sentiments can affect aggregate outcomes in equilibrium and (ii) conditions under which sentiments drive persistent fluctuations and when they only affect aggregate outcomes contemporaneously. We also show that sentiment equilibria are stable under least-squares learning while the fundamental equilibrium is not"--Abstract, page iii.
650 0|aBusiness cycles|xEconometric models.
650 6|aCycles économiques|xModèles économétriques.
7102 |aBank of Canada, |eissuing body.
830#0|aStaff working paper (Bank of Canada)|v2021-33.|w(CaOODSP)9.806221
85640|qPDF|s1.78 MB|uhttps://publications.gc.ca/collections/collection_2021/banque-bank-canada/FB3-5-2021-33-eng.pdf