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Comparing behavioural heterogeneity across asset classes

Saskia ter Ellen (), Cars Hommes () and Remco C.J. Zwinkels
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Remco C.J. Zwinkels: Vrije Universiteit Amsterdam and Tinbergen Institute

No 2017/12, Working Paper from Norges Bank

Abstract: We estimate a generic agent-based model in which agents have heterogeneous beliefs about the future price to see to what extent behaviour differs across assets, and what this implies for market stability. We find evidence for behavioural heterogeneity for all asset classes, except for equities. Heterogeneity is especially pronounced for macro-economic variables. Agents update their beliefs frequently in financial markets, and only gradually in the case of macro-economic variables. Consequently, we find that the probability of behavioural bubbles is substantially higher for the macro-economic variables than for financial assets.

Keywords: financial markets; heterogeneous expectations; market stability (search for similar items in EconPapers)
JEL-codes: E31 G12 G15 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-mac
Date: 2017-06-30
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Handle: RePEc:bno:worpap:2017_12