Learning from experience in the stock market
Anton Nakov and
Galo Nuño Barrau
No 1132, Working Papers from Banco de España
Abstract:
We study the dynamics of a Lucas-tree model with finitely lived agents who “learn from experience.” Individuals update expectations by Bayesian learning based on observations from their own lifetimes. In this model, the stock price exhibits stochastic boom-and-bust fluctuations around the rational expectations equilibrium. This heterogeneous-agents economy can be approximated by a representative-agent model with constant-gain learning, where the gain parameter is related to the survival rate.
Keywords: Learning from experience; OLG; asset pricing; bubbles; heterogeneous agents (search for similar items in EconPapers)
JEL-codes: D83 D84 G12 (search for similar items in EconPapers)
Pages: 44 pages
Date: 2011-12
New Economics Papers: this item is included in nep-cba
References: Add references at CitEc
Citations: View citations in EconPapers (1)
Downloads: (external link)
http://www.bde.es/f/webbde/SES/Secciones/Publicaci ... /11/Fich/dt1132e.pdf First version, December 2011 (application/pdf)
Related works:
Journal Article: Learning from experience in the stock market (2015)
Working Paper: Learning from Experience in the Stock Market (2014)
Working Paper: Learning from experience in the stock market (2012)
Working Paper: Learning from experience in the stock market (2011)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:bde:wpaper:1132
Access Statistics for this paper
More papers in Working Papers from Banco de España Contact information at EDIRC.
Bibliographic data for series maintained by Ángel Rodríguez. Electronic Dissemination of Information Unit. Research Department. Banco de España (edicionydifusion@bde.es).