Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/210132 
Erscheinungsjahr: 
2017
Schriftenreihe/Nr.: 
Working Paper No. 22/2017
Verlag: 
Norges Bank, Oslo
Zusammenfassung: 
This paper reviews the empirical literature on heterogeneous beliefs and asset price dynamics that challenges the traditional rational agent framework. Emphasis is given to the validation and estimation of (dynamic) heterogeneous agent models that have their roots in the agent-based literature. Heterogeneous agent models per- form well in describing, explaining, and often forecasting asset markets dynamics, such as equities, foreign exchange, credit, housing, derivatives, and commodities. Our survey suggests that heterogeneous agent models have the ability to produce important stylised facts observed in nancial time series and to replicate important episodes of nancial turmoil.
Schlagwörter: 
expectations
heterogeneous agent models
bounded rationality
asset price dynamics
Persistent Identifier der Erstveröffentlichung: 
ISBN: 
978-82-8379-006-1
Creative-Commons-Lizenz: 
cc-by-nc-nd Logo
Dokumentart: 
Working Paper
Erscheint in der Sammlung:

Datei(en):
Datei
Größe
432.81 kB





Publikationen in EconStor sind urheberrechtlich geschützt.