Can Agents Learn to Form Rational Expectations? Some Results on Convergence and Stability of Learning in the UK Stock Market
Can Agents Learn to Form Rational Expectations? Some Results on Convergence and Stability of Learning in the UK Stock Market
复制标题
代理人能否学会形成理性预期？
DOI：
10.2307/2234974
复制
发表时间：
1994
期刊：
影响因子：
--
通讯作者：
A. Timmermann
中科院分区：
文献类型：
--
作者：
A. Timmermann
理性预期经常被证明是智能体学习过程的收敛点。然而，当智能体的学习反馈到经济运动的实际规律时，他们的规则收敛到理性预期均衡（REE）是不保证的。应用新的方法分析了英国一个模型的学习收敛性。我们发现，如果代理人试图估计模型的长期动态，他们就不可能学会形成理性预期。然而，如果代理有很强的先验知识，并对模型施加单位根，从而将他们的学习限制在短期动态中，有证据表明递归学习最终可能会导致他们进入REE。学习过程中的路径这一均衡是高度波动性，这表明学习可能有助于解释过度波动在英国。股票价格版权所有1994年由皇家经济学会。
Rational expectations are frequently justified as the point of convergence of agents' learning process. When agents' learning feeds back on the actual law of motion of the economy convergence of their rule to a rational expectations equilibrium (REE) is not guaranteed however. Applying new methods to analyze the convergence of learning in a model of U.K. stock prices we find evidence that agents could not have learned to form rational expectations if they had attempted to estimate the long-run dynamics of the model. If, however, agents have strong priors and impose a unit root on the model, thus confining their learning to the short run dynamics, there is evidence that recursive learning may eventually lead them to a REE. The learning process on the path to this equilibrium is highly volatile, suggesting that learning may help to explain excess volatility in U.K. stock prices. Copyright 1994 by Royal Economic Society.