| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP12527 |
| DP12527 New Experimental Evidence on Expectations Formation | |
| David Thesmar; Augustin Landier; Yueran Ma | |
| 发表日期 | 2017-12-21 |
| 出版年 | 2017 |
| 语种 | 英语 |
| 摘要 | In this paper, we measure belief formation in an experimental setting where agents are incentivized to provide accurate forecasts of a random variable, drawn from a stable and simple statistical process. Using these data, we estimate an empirical model that builds on the recent literature on expectation dynamics: It nests rational expectations, but also allows for extrapolation and under-reaction. Our findings are threefold. First, the rational expectation hypothesis is strongly rejected in our setting. Second, both extrapolation and underreaction patterns are statistically discernible in the data, but extrapolation quantitatively dominates. Third, our model coefficients are very robust to changes in experimental setting: They do not depend on process parameters, individual characteristics or framing. These large and stable deviations from rationality occur even though the forecasting exercise is simple and transparent. |
| 主题 | Financial Economics ; Macroeconomics and Growth |
| URL | https://cepr.org/publications/dp12527 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/541338 |
| 推荐引用方式 GB/T 7714 | David Thesmar,Augustin Landier,Yueran Ma. DP12527 New Experimental Evidence on Expectations Formation. 2017. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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