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Teoria dei Processi Imitativi e Applicazioni Economiche

Author

Listed:
  • Marco Arnone

    (IMF & Catholic University of Milan)

Abstract

This paper provides a survey of recent theories of herding behaviour, bridging two rather distants strands of literature (roughly, American and European). In the first part of the paper the explanation is based on the idea of asymmetric information and principal-agent approach; these could lead to an over-estimation of public information and under- estimation of private information, leading to informational cascades and interruption of social learning. The second part reviews the second strand of literature on herding, where transition probabilities from one strategy to another, which are stochastic at intividual level, give rise to quasi-deternimistic paths at aggregate level. The concept of self- referential and hetero-referential systems are introduced. Feb. 2004

Suggested Citation

  • Marco Arnone, 2004. "Teoria dei Processi Imitativi e Applicazioni Economiche," International Finance 0404012, University Library of Munich, Germany.
    • Handle: RePEc:wpa:wuwpif:0404012
    Note: Type of Document - pdf; pages: 34. This paper provides a survey of recent theories of herding behaviour, bridging two rather distants strands of literature (roughly, American and European).
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    File URL: https://econwpa.ub.uni-muenchen.de/econ-wp/if/papers/0404/0404012.pdf
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    References listed on IDEAS

    as
    1. Avery, Christopher & Zemsky, Peter, 1998. "Multidimensional Uncertainty and Herd Behavior in Financial Markets," American Economic Review, American Economic Association, vol. 88(4), pages 724-748, September.
    2. Becker, Gary S, 1991. "A Note on Restaurant Pricing and Other Examples of Social Influences on Price," Journal of Political Economy, University of Chicago Press, vol. 99(5), pages 1109-1116, October.
    3. Taylor, Mark P, 1989. "Charts, Noise and Fundamentals: A Study of the London Foreign Exchange Market," CEPR Discussion Papers 341, C.E.P.R. Discussion Papers.
    4. Chamley, Christophe & Gale, Douglas, 1994. "Information Revelation and Strategic Delay in a Model of Investment," Econometrica, Econometric Society, vol. 62(5), pages 1065-1085, September.
    5. Sushil Bikhchandani & David Hirshleifer & Ivo Welch, 1998. "Learning from the Behavior of Others: Conformity, Fads, and Informational Cascades," Journal of Economic Perspectives, American Economic Association, vol. 12(3), pages 151-170, Summer.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Herd behaviour; informational cascades; asymmetric information; learning; self-organisation; exchange rate; bubbles; financial crises;
    All these keywords.

    JEL classification:

    • F3 - International Economics - - International Finance
    • F4 - International Economics - - Macroeconomic Aspects of International Trade and Finance

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