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Behavioral Rationality and Heterogeneous Expectations in Complex Economic Systems

Autor: Cars Hommes

Recognising that the economy is a complex system with boundedly rational interacting agents, the book presents a theory of behavioral rationality and heterogeneous expectations in complex economic systems and confronts the nonlinear dynamic models wi

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Forward guidance and the role of central bank credibility under heterogeneous beliefs

Autor: Cars Hommes, Kostas Mavromatis, Gavin Goy

Publikováno v: Journal of Economic Behavior & Organization. 200:1240-1274

This paper studies the macroeconomic effects of central bank forward guidance when central bank credibility is endogenous. We take a stylized New Keynesian model with an occasionally binding effective lower bound constraint on nominal interest rates

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::e5fe06ddeed6f231701da22c850089bd
https://doi.org/10.1016/j.jebo.2020.06.025

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Production delays and price dynamics

Autor: Cars Hommes, Kai Li, Florian Wagener

Publikováno v: Journal of Economic Behavior and Organization, 194, 341-362. Elsevier

This paper develops a unified analysis of the impacts of production delays on aggregate price fluctuations in a continuous-time cobweb-type model. We find that the time inconsistency between demand and supply due to production delays inherently gener

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::d0355fa47ae785a8f2eb0bc6d35b5599
https://doi.org/10.1016/j.jebo.2021.12.033

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Economic forecasting with an agent-based model

Autor: Sebastian Poledna, Michael Gregor Miess, Cars Hommes, Katrin Rabitsch

We develop the first agent-based model (ABM) that can compete with benchmark VAR and DSGE models in out-of-sample forecasting of macro variables. Our ABM for a small open economy uses micro and macro data from national accounts, sector accounts, inpu

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::9f67e10f205a8414dcf4f06f093281c1
https://pure.iiasa.ac.at/id/eprint/18339/

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Are long-horizon expectations (de-)stabilizing? Theory and experiments

Autor: George W. Evans, Cars Hommes, Bruce McGough, Isabelle Salle

Publikováno v: Journal of Monetary Economics, 132, 44-63. Elsevier

The impact of finite forecasting horizons on price dynamics is examined in a standard infinite-horizon asset-pricing model. Our theoretical results link forecasting horizon inversely to expectational feedback, and predict a positive relationship betw

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::632f1f65d8335e0b12ecb0da812e4cd2
https://dare.uva.nl/personal/pure/en/publications/are-longhorizon-expectations-destabilizing-theory-and-experiments(1d81985d-1067-4e42-ae6a-b5bd42bd1dc8).html

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Comparing behavioural heterogeneity across asset classes

Autor: Saskia ter Ellen, Cars Hommes, Remco C. J. Zwinkels

Publikováno v: Journal of Economic Behavior & Organization. 185:747-769

We estimate an endowment-based asset pricing model in which agents have heterogeneous and time-varying beliefs about the future price on a range of asset classes. This gives insight into the extent behaviour differs across assets, and what this impli

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::c0bb0ff79578fa7117d49046ab307b8a
https://doi.org/10.1016/j.jebo.2019.12.013

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Behavioral and Experimental Macroeconomics and Policy Analysis: A Complex Systems Approach

Autor: Cars Hommes

Publikováno v: Journal of Economic Literature. 59:149-219

This survey discusses behavioral and experimental macroeconomics, emphasizing a complex systems perspective. The economy consists of boundedly rational heterogeneous agents who do not fully understand their complex environment and use simple decision

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::26783a42bd2cda3512a39d7288eb24e1
https://doi.org/10.1257/jel.20191434

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Managing self-organization of expectations through monetary policy

Autor: Cars Hommes, Tiziana Assenza, Domenico Massaro, Peter Heemeijer

Publikováno v: Journal of Monetary Economics
Journal of Monetary Economics, 2021, 117, pp.170-186. ⟨10.1016/j.jmoneco.2019.12.005⟩
Journal of Monetary Economics, 117, 170-186. Elsevier

National audience; The New Keynesian theory of inflation determination is tested in this paper by means of laboratory experiments. We find that the Taylor principle is a necessary condition to ensure convergence to the inflation target, but it is not

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::0d66da254278edd944ef9b97e041426d
https://doi.org/10.1016/j.jmoneco.2019.12.005

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Inflation targeting and liquidity traps under endogenous credibility

Autor: Joep Lustenhouwer, Cars Hommes

Publikováno v: Journal of Monetary Economics, 107, 48-62. Elsevier

Policy implications are derived for an inflation-targeting central bank, whose credibility is endogenous and depends on its past ability to achieve its targets. This is done in a New Keynesian framework with heterogeneous and boundedly rational expec

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::6bafec5fc5e22bab049171a29853d90d
https://doi.org/10.1016/j.jmoneco.2019.01.027

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