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Expectationally Driven Market Volatility: An Experimental Study

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Cited by:

  1. Deck, Cary & Kimbrough, Erik O., 2013. "Do market incentives crowd out charitable giving?," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, vol. 47(C), pages 16-24.
  2. Douglas Davis & Oleg Korenok & Peter Norman & Bruno Sultanum & Randall Wright, 2019. "Playing with Money," Working Paper 19-2, Federal Reserve Bank of Richmond, revised 07 Feb 2019.
  3. Bernasconi, Michele & Kirchkamp, Oliver, 2000. "Why do monetary policies matter? An experimental study of saving and inflation in an overlapping generations model," Journal of Monetary Economics, Elsevier, vol. 46(2), pages 315-343, October.
  4. Julie Beugnot & Zeynep Gürgüç & Frederik Roose Øvlisen & Michael M. W. Roos, 2012. "Coordination failure caused by sunspots," Economics Bulletin, AccessEcon, vol. 32(4), pages 2860-2869.
  5. Noemi Schmitt & Frank Westerhoff, 2017. "Heterogeneity, spontaneous coordination and extreme events within large-scale and small-scale agent-based financial market models," Journal of Evolutionary Economics, Springer, vol. 27(5), pages 1041-1070, November.
  6. Shu-Heng Chen & Chung-Chih Liao & Pei-Jung Chou, 2008. "On the plausibility of sunspot equilibria," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 3(1), pages 25-41, June.
  7. Deck, Cary & Lin, Shengle & Porter, David, 2013. "Affecting policy by manipulating prediction markets: Experimental evidence," Journal of Economic Behavior & Organization, Elsevier, vol. 85(C), pages 48-62.
  8. Bao, Te & Duffy, John & Hommes, Cars, 2013. "Learning, forecasting and optimizing: An experimental study," European Economic Review, Elsevier, vol. 61(C), pages 186-204.
  9. Fehr, Dietmar & Heinemann, Frank & Llorente-Saguer, Aniol, 2019. "The power of sunspots: An experimental analysis," Journal of Monetary Economics, Elsevier, vol. 103(C), pages 123-136.
  10. Tiziana Assenza & Te Bao & Cars Hommes & Domenico Massaro, 2014. "Experiments on Expectations in Macroeconomics and Finance," Research in Experimental Economics, in: John Duffy (ed.),Experiments in Macroeconomics, volume 17, pages 11-70, Emerald Publishing Ltd.
  11. Bao, Te & Hennequin, Myrna & Hommes, Cars & Massaro, Domenico, 2020. "Coordination on bubbles in large-group asset pricing experiments," Journal of Economic Dynamics and Control, Elsevier, vol. 110(C).
  12. Annarita COLASANTE & Antonio PALESTRINI & Alberto RUSSO & Mauro GALLEGATI, 2015. "Adaptive Expectations with Correction Bias: Evidence from the lab," Working Papers 409, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
  13. John Duffy & Ernest K. Lai & Wooyoung Lim, 2017. "Coordination via correlation: an experimental study," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 64(2), pages 265-304, August.
  14. Tiziana Assenza & Peter Heemeijer & Cars Hommes & Domenica Massaro, 2011. "Individual Expectations and Aggregate Macro Behavior," DNB Working Papers 298, Netherlands Central Bank, Research Department.
  15. Te Bao & Cars Hommes & Tomasz Makarewicz, 2017. "Bubble Formation and (In)Efficient Markets in Learning‐to‐forecast and optimise Experiments," Economic Journal, Royal Economic Society, vol. 127(605), pages 581-609, October.
  16. Desgranges, Gabriel & Negroni, Giorgio, 2003. "Expectations Coordination On A Sunspot Equilibrium: An Eductive Approach," Macroeconomic Dynamics, Cambridge University Press, vol. 7(1), pages 7-41, February.
  17. Bottazzi, Giulio & Devetag, Giovanna & Pancotto, Francesca, 2011. "Does volatility matter? Expectations of price return and variability in an asset pricing experiment," Journal of Economic Behavior & Organization, Elsevier, vol. 77(2), pages 124-146, February.
  18. Colasante, Annarita & Palestrini, Antonio & Russo, Alberto & Gallegati, Mauro, 2017. "Adaptive expectations versus rational expectations: Evidence from the lab," International Journal of Forecasting, Elsevier, vol. 33(4), pages 988-1006.
  19. Sean Crockett, 2013. "Price Dynamics In General Equilibrium Experiments," Journal of Economic Surveys, Wiley Blackwell, vol. 27(3), pages 421-438, July.
  20. Perli, Roberto, 1998. "Indeterminacy, home production, and the business cycle: A calibrated analysis," Journal of Monetary Economics, Elsevier, vol. 41(1), pages 105-125, February.
  21. Pfajfar, D. & Zakelj, B., 2012. "Uncertainty and Disagreement in Forecasting Inflation : Evidence from the Laboratory (Revised version of CentER DP 2011-053)," Other publications TiSEM 38fac5ce-fe8f-4b61-a679-f, Tilburg University, School of Economics and Management.
  22. Pfajfar, Damjan & Žakelj, Blaž, 2018. "Inflation Expectations And Monetary Policy Design: Evidence From The Laboratory," Macroeconomic Dynamics, Cambridge University Press, vol. 22(4), pages 1035-1075, June.
  23. Hommes, Cars & Sonnemans, Joep & Tuinstra, Jan & Van De Velden, Henk, 2007. "Learning In Cobweb Experiments," Macroeconomic Dynamics, Cambridge University Press, vol. 11(S1), pages 8-33, November.
  24. Evans George W & Honkapohja Seppo M.S. & Marimon Ramon, 2007. "Stable Sunspot Equilibria in a Cash-in-Advance Economy," The B.E. Journal of Macroeconomics, De Gruyter, vol. 7(1), pages 1-38, January.
  25. Annarita Colasante & Simone Alfarano & Eva Camacho-Cuena & Mauro Gallegati, 2020. "Long-run expectations in a learning-to-forecast experiment: a simulation approach," Journal of Evolutionary Economics, Springer, vol. 30(1), pages 75-116, January.
  26. Hommes, Cars & Sonnemans, Joep & Tuinstra, Jan & van de Velden, Henk, 2008. "Expectations and bubbles in asset pricing experiments," Journal of Economic Behavior & Organization, Elsevier, vol. 67(1), pages 116-133, July.
  27. Arifovic, Jasmina, 1996. "The Behavior of the Exchange Rate in the Genetic Algorithm and Experimental Economies," Journal of Political Economy, University of Chicago Press, vol. 104(3), pages 510-541, June.
  28. Pietro Battiston & Sharon G. Harrison, 2019. "Believe it or not: Experimental Evidence on Sunspot Equilibria with Social Networks," Working Papers 422, University of Milano-Bicocca, Department of Economics, revised Nov 2019.
  29. Michael W.M. Roos & Wolfgang J. Luhan, 2008. "As if or What? – Expectations and Optimization in a Simple Macroeconomic Environment," Ruhr Economic Papers 0055, Rheinisch-Westfälisches Institut für Wirtschaftsforschung, Ruhr-Universität Bochum, Universität Dortmund, Universität Duisburg-Essen.
  30. Camille Cornand & Frank Heinemann, 2018. "Experiments on macroeconomics: methods and applications," Working Papers 1810, Groupe d'Analyse et de Théorie Economique Lyon St-Étienne (GATE Lyon St-Étienne), Université de Lyon.
  31. Filippin, Antonio, 2003. "Discrimination and Workers' Expectations: Experimental Evidence," IZA Discussion Papers 824, Institute of Labor Economics (IZA).
  32. Heemeijer, Peter & Hommes, Cars & Sonnemans, Joep & Tuinstra, Jan, 2009. "Price stability and volatility in markets with positive and negative expectations feedback: An experimental investigation," Journal of Economic Dynamics and Control, Elsevier, vol. 33(5), pages 1052-1072, May.
  33. Annarita Colasante & Simone Alfarano & Eva Camacho-Cuena, 2019. "The term structure of cross-sectional dispersion of expectations in a Learning-to-Forecast Experiment," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 14(3), pages 491-520, September.
  34. Timothy Cason & Tridib Sharma, 2007. "Recommended play and correlated equilibria: an experimental study," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 33(1), pages 11-27, October.
  35. Marimon, Ramon & Sunder, Shyam, 1995. "Does a constant money growth rule help stabilize inflation?: experimental evidence," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 43(1), pages 111-156, December.
  36. Hommes, Cars, 2018. "Behavioral & experimental macroeconomics and policy analysis: a complex systems approach," Working Paper Series 2201, European Central Bank.
  37. Bao, Te & Hommes, Cars & Sonnemans, Joep & Tuinstra, Jan, 2012. "Individual expectations, limited rationality and aggregate outcomes," Journal of Economic Dynamics and Control, Elsevier, vol. 36(8), pages 1101-1120.
  38. repec:zbw:rwirep:0055 is not listed on IDEAS
  39. Annarita Colasante & Simone Alfarano & Eva Camacho-Cuena, 2019. "Heuristic Switching Model and Exploration-Explotation Algorithm to describe long-run expectations in LtFEs: A comparison," Working Papers 2019/02, Economics Department, Universitat Jaume I, Castellón (Spain).
  40. Huber, Juergen & Shubik, Martin & Sunder, Shyam, 2007. "Three Minimal Market Institutions: Theory and Experimental Evidence," Working Papers 27, Yale University, Department of Economics.
  41. Troy Tassier, 2013. "Handbook of Research on Complexity, by J. Barkley Rosser, Jr. and Edward Elgar," Eastern Economic Journal, Palgrave Macmillan;Eastern Economic Association, vol. 39(1), pages 132-133.
  42. Camille Cornand & Frank Heinemann, 2018. "Experiments on macroeconomics: methods and applications," Post-Print halshs-01809937, HAL.
  43. Cars Hommes & Tomasz Makarewicz & Domenico Massaro & Tom Smits, 2017. "Genetic algorithm learning in a New Keynesian macroeconomic setup," Journal of Evolutionary Economics, Springer, vol. 27(5), pages 1133-1155, November.
  44. Robert J. Shiller, 2003. "From Efficient Markets Theory to Behavioral Finance," Journal of Economic Perspectives, American Economic Association, vol. 17(1), pages 83-104, Winter.
  45. Camille Cornand & Frank Heinemann, 2014. "Experiments on Monetary Policy and Central Banking," Research in Experimental Economics, in: John Duffy (ed.),Experiments in Macroeconomics, volume 17, pages 167-227, Emerald Publishing Ltd.
  46. Jasmina Arifovic & Janet Hua Jiang, 2014. "Do Sunspots Matter? Evidence from an Experimental Study of Bank Runs," Staff Working Papers 14-12, Bank of Canada.
  47. Gerunov, Anton, 2014. "Критичен Преглед На Основните Подходи За Моделиране На Икономическите Очаквания [A Critical Review of Major Approaches for Modeling Economic Expectations]," MPRA Paper 68797, University Library of Munich, Germany.
  48. Johne Bone & Michalis Drouvelis & Indrajit Ray, 2013. "Coordination in 2 x 2 Games by Following Recommendations from Correlated Equilibria," Discussion Papers 12-04r, Department of Economics, University of Birmingham.
  49. James B. Bullard & John Duffy, 1993. "Learning in a large square economy," Working Papers 1994-013, Federal Reserve Bank of St. Louis.
  50. Cars H. Hommes, 2009. "Bounded Rationality and Learning in Complex Markets," Chapters, in: J. Barkley Rosser Jr. (ed.),Handbook of Research on Complexity, chapter 5, Edward Elgar Publishing.
  51. Huber, Juergen & Shubik, Martin & Sunder, Shyam, 2010. "Three minimal market institutions with human and algorithmic agents: Theory and experimental evidence," Games and Economic Behavior, Elsevier, vol. 70(2), pages 403-424, November.
  52. repec:sfu:sfudps:dp13-09 is not listed on IDEAS
  53. Pfajfar, Damjan & Žakelj, Blaž, 2016. "Uncertainty in forecasting inflation and monetary policy design: Evidence from the laboratory," International Journal of Forecasting, Elsevier, vol. 32(3), pages 849-864.
  54. Asen Ivanov & Dan Levin & James Peck, 2010. "Behavioral Biases, Informational Externalities, and Efficiency in Endogenous-Timing Herding Games: an Experimental Study," Working Papers 1004, VCU School of Business, Department of Economics.
  55. Hanaki, Nobuyuki & Akiyama, Eizo & Ishikawa, Ryuichiro, 2018. "Effects of different ways of incentivizing price forecasts on market dynamics and individual decisions in asset market experiments," Journal of Economic Dynamics and Control, Elsevier, vol. 88(C), pages 51-69.
  56. Hommes, C.H. & Wagener, F.O.O., 2008. "Complex evolutionary systems in behavioral finance," CeNDEF Working Papers 08-05, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  57. Marimon, R. & McGraltan, E., 1993. "On Adaptative Learning in Strategic Games," Papers 190, Cambridge - Risk, Information & Quantity Signals.
  58. Arifovic, Jasmina & Hommes, Cars & Salle, Isabelle, 2019. "Learning to believe in simple equilibria in a complex OLG economy - evidence from the lab," Journal of Economic Theory, Elsevier, vol. 183(C), pages 106-182.
  59. repec:pit:wpaper:334 is not listed on IDEAS
  60. Parker, Simon C., 2006. "Learning about the unknown: How fast do entrepreneurs adjust their beliefs?," Journal of Business Venturing, Elsevier, vol. 21(1), pages 1-26, January.
  61. Hommes, C.H. & Sonnemans, J. & Tuinstra, J. & Velden, H. van de, 2004. "Coordination of Expectations in Asset Pricing Experiments (Version March 2004)," CeNDEF Working Papers 04-02, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  62. Cars Hommes & Anita Kopányi-Peuker & Joep Sonnemans, "undated". "Bubbles, crashes and information contagion in large-group asset market experiments," Tinbergen Institute Discussion Papers 19-016/II, Tinbergen Institute.
  63. Hommes, Cars, 2011. "The heterogeneous expectations hypothesis: Some evidence from the lab," Journal of Economic Dynamics and Control, Elsevier, vol. 35(1), pages 1-24, January.
  64. Siebert, Jan & Yang, Guanzhong, 2017. "Discoordination and miscoordination caused by sunspots in the laboratory," Working Papers on East Asian Studies 114/2017, University of Duisburg-Essen, Institute of East Asian Studies IN-EAST.
  65. Johne Bone & Michalis Drouvelis & Indrajit Ray, 2013. "Coordination in 2 x 2 Games by Following Recommendations from Correlated Equilibria," Discussion Papers 12-04, Department of Economics, University of Birmingham.
  66. Ermanno Catullo & Mauro Gallegati & Alberto Russo, 2020. "Forecasting in a complex environment: Machine learning sales expectations in a Stock Flow Consistent Agent-Based simulation model," Working Papers 2020/17, Economics Department, Universitat Jaume I, Castellón (Spain).
  67. John Duffy & Eric O'N. Fisher, 2005. "Sunspots in the Laboratory," American Economic Review, American Economic Association, vol. 95(3), pages 510-529, June.
  68. Heemeijer Peter & Hommes Cars & Sonnemans Joep & Tuinstra Jan, 2012. "An Experimental Study on Expectations and Learning in Overlapping Generations Models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 16(4), pages 1-49, October.
  69. Arifovic, Jasmina, 1995. "Genetic algorithms and inflationary economies," Journal of Monetary Economics, Elsevier, vol. 36(1), pages 219-243, August.
  70. Colasante, Annarita & Palestrini, Antonio & Russo, Alberto & Gallegati, Mauro, 2015. "Heterogeneous Adaptive Expectations and Coordination in a Learning-to-Forecast Experiment," MPRA Paper 66578, University Library of Munich, Germany.
  71. Mikhail Anufriev & Cars Hommes, 2012. "Evolutionary Selection of Individual Expectations and Aggregate Outcomes in Asset Pricing Experiments," American Economic Journal: Microeconomics, American Economic Association, vol. 4(4), pages 35-64, November.
  72. Gode, Dhananjay (Dan) K. & Sunder, Shyam, 2004. "Double auction dynamics: structural effects of non-binding price controls," Journal of Economic Dynamics and Control, Elsevier, vol. 28(9), pages 1707-1731, July.
  73. Roos, Michael W. M. & Luhan, Wolfgang J., 2008. "As if or What? – Expectations and Optimization in a Simple Macroeconomic Environment," Ruhr Economic Papers 55, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
  74. Pfajfar, D. & Zakelj, B., 2011. "Inflation Expectations and Monetary Policy Design : Evidence from the Laboratory (Replaces CentER DP 2009-007)," Discussion Paper 2011-091, Tilburg University, Center for Economic Research.
  75. Antonio Doria, Francisco, 2011. "J.B. Rosser Jr. , Handbook of Research on Complexity, Edward Elgar, Cheltenham, UK--Northampton, MA, USA (2009) 436 + viii pp., index, ISBN 978 1 84542 089 5 (cased)," Journal of Economic Behavior & Organization, Elsevier, vol. 78(1-2), pages 196-204, April.
  76. Pfajfar, Damjan & Žakelj, Blaž, 2014. "Experimental evidence on inflation expectation formation," Journal of Economic Dynamics and Control, Elsevier, vol. 44(C), pages 147-168.
  77. Davis, Douglas & Korenok, Oleg, 2011. "Nominal shocks in monopolistically competitive markets: An experiment," Journal of Monetary Economics, Elsevier, vol. 58(6), pages 578-589.
  78. Sonnemans, Joep & Hommes, Cars & Tuinstra, Jan & van de Velden, Henk, 2004. "The instability of a heterogeneous cobweb economy: a strategy experiment on expectation formation," Journal of Economic Behavior & Organization, Elsevier, vol. 54(4), pages 453-481, August.
  79. repec:ams:ndfwpp:02-07 is not listed on IDEAS
  80. Makarewicz, Tomasz, 2019. "Traders, forecasters and financial instability: A model of individual learning of anchor-and-adjustment heuristics," BERG Working Paper Series 141, Bamberg University, Bamberg Economic Research Group.
  81. Cars Hommes & Joep Sonnemans & Jan Tuinstra & Henk van de Velden, 2005. "Coordination of Expectations in Asset Pricing Experiments," Review of Financial Studies, Society for Financial Studies, vol. 18(3), pages 955-980.
  82. Bizer, Kilian & Meub, Lukas & Proeger, Till & Spiwoks, Markus, 2014. "Strategic coordination in forecasting: An experimental study," Center for European, Governance and Economic Development Research Discussion Papers 195, University of Goettingen, Department of Economics.
  83. Arifovic, Jasmina & Jiang, Janet Hua, 2019. "Strategic uncertainty and the power of extrinsic signals– evidence from an experimental study of bank runs," Journal of Economic Behavior & Organization, Elsevier, vol. 167(C), pages 1-17.
  84. Goeree, Jacob K. & Hommes, Cars H., 2000. "Heterogeneous beliefs and the non-linear cobweb model," Journal of Economic Dynamics and Control, Elsevier, vol. 24(5-7), pages 761-798, June.
  85. Kopányi, Dávid & Rabanal, Jean Paul & Rud, Olga A. & Tuinstra, Jan, 2019. "Can competition between forecasters stabilize asset prices in learning to forecast experiments?," Journal of Economic Dynamics and Control, Elsevier, vol. 109(C).
  86. John Duffy, 1998. "Monetary theory in the laboratory," Review, Federal Reserve Bank of St. Louis, issue Sep, pages 9-26.
  87. Antonio Filippin, 2003. "Discrimination and workers' expectations: experimental evidence," Departmental Working Papers 2003-16, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano.
  88. Christoph March & Robert K. Weizsäcker, 2020. "Coordinating intergenerational redistribution and the repayment of public debt: an experimental test of Tabellini (1991)," Social Choice and Welfare, Springer;The Society for Social Choice and Welfare, vol. 55(2), pages 301-323, August.
  89. Barucci, Emilio, 2000. "Exponentially fading memory learning in forward-looking economic models," Journal of Economic Dynamics and Control, Elsevier, vol. 24(5-7), pages 1027-1046, June.
  90. Arifovic, Jasmina & Evans, George W. & Kostyshyna, Olena, 2020. "Are sunspots learnable? An experimental investigation in a simple macroeconomic model," Journal of Economic Dynamics and Control, Elsevier, vol. 110(C).
  91. Jasmina Arifovic & George Evans & Olena Kostyshyna, 2013. "Are Sunspots Learnable? An Experimental Investigation in a Simple General-Equilibrium Model," Staff Working Papers 13-14, Bank of Canada.
  92. Bao, Te & Zong, Jichuan, 2019. "The impact of interest rate policy on individual expectations and asset bubbles in experimental markets," Journal of Economic Dynamics and Control, Elsevier, vol. 107(C), pages 1-1.
  93. Georgalos, Konstantinos & Ray, Indrajit & Gupta, Sonali Sen, 2019. "Nash vs. Coarse Correlation," Cardiff Economics Working Papers E2019/3, Cardiff University, Cardiff Business School, Economics Section.
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