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Replication data for: Evolutionary Selection of Individual Expectations and Aggregate Outcomes in Asset Pricing Experiments

Version
V0
Resource Type
Dataset
Creator
  • Anufriev, Mikhail
  • Hommes, Cars
Publication Date
2012-05-01
Description
  • Abstract

    In recent "learning to forecast" experiments (Hommes et al. 2005), three different patterns in aggregate price behavior have been observed: slow monotonic convergence, permanent oscillations, and dampened fluctuations. We show that a simple model of individual learning can explain these different aggregate outcomes within the same experimental setting. The key idea is evolutionary selection among heterogeneous expectation rules, driven by their relative performance. The out-of-sample predictive power of our switching model is higher compared to the rational or other homogeneous expectations benchmarks. Our results show that heterogeneity in expectations is crucial to describe individual forecasting and aggregate price behavior. (JEL C53, C91, D83, D84, G12)
Availability
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Relations
  • Is supplement to
    DOI: 10.1257/mic.4.4.35 (Text)
Publications
  • Anufriev, Mikhail, and Cars Hommes. “Evolutionary Selection of Individual Expectations and Aggregate Outcomes in Asset Pricing Experiments.” American Economic Journal: Microeconomics 4, no. 4 (November 2012): 35–64. https://doi.org/10.1257/mic.4.4.35.
    • ID: 10.1257/mic.4.4.35 (DOI)

Update Metadata: 2020-05-18 | Issue Number: 2 | Registration Date: 2019-10-13

Anufriev, Mikhail; Hommes, Cars (2012): Replication data for: Evolutionary Selection of Individual Expectations and Aggregate Outcomes in Asset Pricing Experiments. Version: V0. ICPSR - Interuniversity Consortium for Political and Social Research. Dataset. https://doi.org/10.3886/E114401