The anatomy of sentiment-driven fluctuations / by Sushant Acharya, Jess Benhabib and Zhen Huo. : FB3-5/2021-33E-PDF
"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.
Lien permanent pour cette publication :
publications.gc.ca/pub?id=9.903141&sl=1
| Ministère/Organisme | Bank of Canada, issuing body. |
|---|---|
| Titre | The anatomy of sentiment-driven fluctuations / by Sushant Acharya, Jess Benhabib and Zhen Huo. |
| Titre de la série | Staff working paper = Document de travail du personnel, 1701-9397 ; 2021-33 |
| Type de publication | Série - Voir l'enregistrement principal |
| Langue | [Anglais] |
| Format | Électronique |
| Document électronique | |
| Note(s) | "Last updated: July 14, 2021." Includes bibliographical references (pages 30-33). |
| Information sur la publication | Ottawa, Ontario, Canada : Bank of Canada = Banque du Canada, 2021. ©2021 |
| Auteur / Contributeur | Acharya, Sushant, author. |
| Description | 1 online resource (iii, 43 pages) : colour illustrations. |
| Numéro de catalogue |
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| Descripteurs | Business cycles -- Econometric models. Cycles économiques -- Modèles économétriques. |
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