Expectationally Driven Market Volatility: An Experimental Study
AbstractWe study the existence and robustness of expectationally-driven price volatility in experimental overlapping generation economies. In the theoretical model under study there exist âpure sunspotâ equilibria which can be âlearnedâ if agents use some adaptive learning rules. Our data show the existence of expectationally-driven cycles, but only after subjects have been exposed to a sequence of real shocks and âlearnedâ a real cycle. In this sense, we show evidence of path-dependent price volatility.
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Economic Theory.
Volume (Year): 61 (1993)
Issue (Month): 1 (October)
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Web page: http://www.elsevier.com/locate/inca/622869
Other versions of this item:
- Marimon, R. & Spear, S. & Sunder, S., 1991. "Expectationally-Driven Market Volatility: An Experimental Study," GSIA Working Papers 1991-3, Carnegie Mellon University, Tepper School of Business.
- Ramon Marimon & Stephen E. Spear & Shyam Sunder, 1993. "Expectationally-driven market volatility: An experimental study," Economics Working Papers 21, Department of Economics and Business, Universitat Pompeu Fabra.
- Ramon Marimon & Stephen E. Spear & Shyam Sunder, 1992. "Expectationally-driven market volatility: an experimental study," Discussion Paper / Institute for Empirical Macroeconomics 73, Federal Reserve Bank of Minneapolis.
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- Lim, Suk S & Prescott, Edward C & Sunder, Shyam, 1994. "Stationary Solution to the Overlapping Generations Model of Fiat Money: Experimental Evidence," Empirical Economics, Springer, vol. 19(2), pages 255-77.
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- Ramon Marimon & Shyam Sunder, 1993.
"Indeterminacy of equilibria in a hyperinflationary world: Experimental evidence,"
Economics Working Papers
25, Department of Economics and Business, Universitat Pompeu Fabra.
- Marimon, Ramon & Sunder, Shyam, 1993. "Indeterminacy of Equilibria in a Hyperinflationary World: Experimental Evidence," Econometrica, Econometric Society, vol. 61(5), pages 1073-107, September.
- Spear, Stephen E., 1984. "Sufficient conditions for the existence of sunspot equilibria," Journal of Economic Theory, Elsevier, vol. 34(2), pages 360-370, December.
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