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Optimism, pessimism and the unforeseen: Modelling an endogenous business cycle driven by strong beliefs


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  • Sell, Friedrich L.
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    Indicators of trust, confidence, optimism or sentiment among consumers and/or investors, are published continuously in the mass media. More importantly, these indices seem not only to reflect how the state of the real economy is perceived by private agents, but can also help predict the future course of the business cycle. Moreover, in econometric analyses they have even been found to cause business activity. In this paper, we first make an attempt to clear all of the above mentioned notions and to interpret their economic content. We thus intend to provide a theoretical foundation for how pessimism and optimism, in conjunction with estimation errors committed by private agents, can drive the real economy. Furthermore, the model presented is capable of incorporating the revision of expectations of private agents through Bayesian updating, to create a fully endogenized business cycle. The results achieved in simulation experiments confirm the possibility of constant, rising and declining oscillations in the growth rate of consumption and income. -- Die wirtschaftliche Fachpresse und die Massenmedien berichten kontinuierlich über die Entwicklung von Indikatoren, welche Auskunft geben sollen über das Vertrauen, die Zuversicht, den Optimismus oder schlicht die Gefühlslage bei Konsumenten und/oder Investoren. Dieses Indikatoren scheinen nicht nur die Ansicht der privaten Akteure über den Zustand der Ökonomie widerzuspiegeln, sondern können auch dazu verwendet werden, den Verlauf des Konjunkturzyklus zu prognostizieren. Ökonometrische Analysen haben gezeigt, daß sie in der Lage sind, den Verlauf der wirtschaftlichen Entwicklung zu verursachen. In diesem Beitrag sollen zunäcst eine Reihe der o. a. Begriffe geklärt und ihr ökonomischer Gehalt interpretiert werden. Anschließend unternehmen wir den Versuch, den Gang der wirtschaftlichen Entwicklung im Zyklus durch das Zusammenspiel von Optimismus bzw. Pessimismus einerseits und das Auftreten bestimmter Erwartungsfehler andererseits zu erklären. Das Modell bedient sich eines Bayesianischen Lernprozesses und kreiert einen völlig endogenen Konjunkturzyklus. Numerische Simulationen zeigen, daß durch das Modell konstante, zunehmende sowie abnehmende Oszillationen des Konsum- und des Einkommenswachstums erzeugt werden können.

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    Bibliographic Info

    Paper provided by Universität der Bundeswehr München, Economic Research Group in its series Working Papers in Economics with number 2002,1.

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    Date of creation: 2002
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    Handle: RePEc:zbw:ubwwpe:20021

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    Keywords: Business Cycles; Rational Beliefs; Bayesian Updating; Consumer Behaviour; Konjunkturzyklus; Rationale Überzeugung; Bayesianisches Lernen; Konsumverhalten;

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