Format du dépôt |
Fichier |
Type de dépôt |
Pré-publication, Document de travail |
Titre |
en
Learning to deal with repeated shocks under strategic complementarity: An experiment
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Résumé |
en
Experimental evidence shows that the rational expectations hypothesis fails to characterize the path to equilibrium after an exogenous shock when actions are strategic complements. Under identical shocks, however, repetition allows adaptive learning, so that inertia in adjustment should fade away with experience. If this finding proves to be robust, inertia in adjustment may be irrelevant among experienced agents. The conjecture in the literature is that inertia would still persist, perhaps indefinitely, in the presence of real-world complications such as nonidentical shocks. Herein, we empirically test the conjecture that the inertia in adjustment is more persistent if the shocks are nonidentical. For both identical and nonidentical shocks, we find persistent inertia and similar patterns of adjustment that can be explained by backward-looking expectation rules. A reformulation of naïve expectations with similarity-based learning approach is found to have a higher predictive power than rational and trend-following rules.
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Auteur(s)
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Muhammed Bulutay
1
, Camille Cornand
2
, Adam Zylbersztejn
2
1
TU -
Technical University of Berlin / Technische Universität Berlin
( 86624 )
- Straße des 17. Juni 135 10623 Berlin
- Allemagne
2
GATE Lyon Saint-Étienne -
Groupe d'Analyse et de Théorie Economique Lyon - Saint-Etienne
( 102550 )
- 93, chemin des Mouilles 69130 Écully
6, rue Basse des Rives 42023 Saint-Étienne cedex 02
- France
-
École normale supérieure de Lyon ( 6818 )
;
-
Université Lumière - Lyon 2 ( 33804 )
;
-
Université Claude Bernard Lyon 1 ( 194495 )
;
-
Université de Lyon ( 301088 )
;
-
Université Jean Monnet - Saint-Étienne ( 300284 )
;
-
Centre National de la Recherche Scientifique UMR5824 ( 441569 )
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Langue du document |
Anglais
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Date de production/écriture |
2020
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Domaine(s) |
-
Sciences de l'Homme et Société/Economies et finances
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Mots-clés (JEL) |
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C - Mathematical and Quantitative Methods/C.C7 - Game Theory and Bargaining Theory/C.C7.C72 - Noncooperative Games
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C - Mathematical and Quantitative Methods/C.C7 - Game Theory and Bargaining Theory/C.C7.C73 - Stochastic and Dynamic Games • Evolutionary Games • Repeated Games
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D - Microeconomics/D.D8 - Information, Knowledge, and Uncertainty/D.D8.D83 - Search • Learning • Information and Knowledge • Communication • Belief • Unawareness
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D - Microeconomics/D.D8 - Information, Knowledge, and Uncertainty/D.D8.D84 - Expectations • Speculations
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D - Microeconomics/D.D9 - Micro-Based Behavioral Economics/D.D9.D91 - Role and Effects of Psychological, Emotional, Social, and Cognitive Factors on Decision Making
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G - Financial Economics/G.G4 - Behavioral Finance/G.G4.G41 - Role and Effects of Psychological, Emotional, Social, and Cognitive Factors on Decision Making in Financial Markets
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Référence interne |
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Working paper GATE 2020-03
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Mots-clés |
en
Strategic complementarities, expectations, adjustment speed, similarity-based learning, guessing games, heuristics switching, heuristics switching JEL codes: C72, C73, D83, D84, D91, G41
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