The effect of time‑varying fundamentals in learning‑to‑forecast experiments
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Show full item recordcomunitat-uji-handle:10234/9
comunitat-uji-handle2:10234/8643
comunitat-uji-handle3:10234/8644
comunitat-uji-handle4:
INVESTIGACIONMetadata
Title
The effect of time‑varying fundamentals in learning‑to‑forecast experimentsDate
2023Publisher
SpringerBibliographic citation
Alfarano, S., Camacho-Cuena, E., Colasante, A. et al. The effect of time-varying fundamentals in learning-to-forecast experiments. J Econ Interact Coord (2023). https://doi.org/10.1007/s11403-023-00397-6Type
info:eu-repo/semantics/articlePublisher version
https://link.springer.com/article/10.1007/s11403-023-00397-6Version
info:eu-repo/semantics/publishedVersionSubject
Abstract
Inspired by macroeconomic scenarios, we aim to experimentally investigate the evolution of short- and long-run expectations under diferent specifcations of the fundamentals. We collect individual predictions for future ... [+]
Inspired by macroeconomic scenarios, we aim to experimentally investigate the evolution of short- and long-run expectations under diferent specifcations of the fundamentals. We collect individual predictions for future prices in a series of Learning
to Forecast Experiments with a time-varying fundamental value. In particular, we
observe how expectations evolve in markets where the fundamental value follows
either a V-shaped or an inverse V-shaped pattern. These conditions are compared
with markets characterized by a constant and a slightly linear increasing fundamental value. We assess whether minor but systematic variations in the fundamentals
afect individual short- and long-run expectations by considering positive and negative feedback-expectation systems. Compared to a setting with constant fundamentals, the slowly varying fundamentals have a limited impact on how subjects form
their expectations in positive feedback markets, whereas in negative feedback markets we observe notable changes. [-]
Is part of
Journal of Economic Interaction and CoordinationFunder Name
Generalitat Valenciana | Ministerio de Ciencia e Innovación | Universitat Jaume I
Project code
AICO/2021/005 | PID2022-136977NB-00 | CIGE/2022/132 | UJI-B2021-66
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info:eu-repo/semantics/openAccess
This item appears in the folowing collection(s)
- ECO_Articles [696]