| 来源类型 | Monograph (IIASA Working Paper)
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| 规范类型 | 论文
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| The Rise of Complex Beliefs Dynamics. |
| Barucci E; Posch M
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| 发表日期 | 1996
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| 出版者 | IIASA, Laxenburg, Austria: WP-96-046
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| 出版年 | 1996
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| 语种 | 英语
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| 摘要 | We prove that complex beliefs dynamics may emerge in linear stochastic models as the outcome of bounded rationality learning. If agents believe in a misspecified law of motion (which is correctly specified at the Rational Expectations Equilibria of the model) and update their beliefs observing the evolving economy, their beliefs can follow in the limit a beliefs cycle which is not a self-fulfilling solution of the model. The stochastic process induced by the learning rule is analyzed by means of an associated ordinary differential equation (ODE). The existence of a uniformly asymptotically stable attractor for the ODE implies the existence of a beliefs attractor, to which the learning process converges. We prove almost sure convergence by assuming that agents employ a projection facility and convergence with positive probability dropping this assumption. The rise of a limit cycle and of even more complex attractors is established in some monetary economics models assuming that agents update their beliefs with the Recursive Ordinary Least Squares and the Least Mean Squares algorithm. |
| 主题 | Dynamic Systems (DYN)
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| URL | http://pure.iiasa.ac.at/id/eprint/4980/
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| 来源智库 | International Institute for Applied Systems Analysis (Austria)
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| 资源类型 | 智库出版物
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| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/124611
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推荐引用方式
GB/T 7714 |
Barucci E,Posch M. The Rise of Complex Beliefs Dynamics.. 1996.
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文件名：
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WP-96-046.pdf
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格式：
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Adobe PDF
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