Financial crisis and slow recovery with Bayesian learning agents
Financial crisis and slow recovery with Bayesian learning agents
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贝叶斯学习代理的金融危机和缓慢复苏
DOI：
10.1111/ijet.12322
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发表时间：
2021
影响因子：
0.5
通讯作者：
Ono Yoshiyasu
中科院分区：
文献类型：
--
作者：
Horii Ryo;Ono Yoshiyasu
在一个简单的连续时间模型中，学习过程影响持有流动性的意愿，我们提供了一个直观的解释商业周期不对称和危机后缓慢复苏。当观察到流动性冲击时，个体理性地增加了再次遭遇流动性冲击的主观概率，这导致了流动性偏好的上升和消费的离散下降。相反，随着无冲击时期的持续，它们逐渐降低主观概率，降低流动性偏好，增加消费。在短期内观察到多次冲击后，复苏过程特别缓慢，因为人们不容易改变他们的悲观看法。
In a simple continuous‐time model where the learning process affects the willingness to hold liquidity, we provide an intuitive explanation of business cycle asymmetry and postcrisis slow recovery. When observing a liquidity shock, individuals rationally increase their subjective probability of re‐encountering it. It leads to an upward jump in liquidity preference and a discrete fall in consumption. Conversely, as a period without shocks continues, they gradually decrease the subjective probability, reduce liquidity preference, and increase consumption. The recovery process is particularly slow after many shocks are observed within a short period because people do not easily change their pessimistic view.