Expectationally-driven market volatility: an experimental study

Ramon Marimon, Stephen Spear () and Shyam Sunder

No 73, Discussion Paper / Institute for Empirical Macroeconomics from Federal Reserve Bank of Minneapolis

Abstract: We study the existence and robustness of expectationally-driven price volatility in experimental overlapping generation economies. In the theoretical model under study there exist pure sunspot equilibria which can be learned if agents use some adaptive learning rules. Our data show the existence of expectationally-driven cycles, but only after subjects have been exposed to a sequence of real shocks and learned a real cycle. In this sense, we show evidence of path-dependent price volatility.

Keywords: Prices (search for similar items in EconPapers)
Date: 1992
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Citations: View citations in EconPapers (2)

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Related works:
Journal Article: Expectationally Driven Market Volatility: An Experimental Study (1993)
Working Paper: Expectationally-driven market volatility: An experimental study (1993)
Working Paper: Expectationally-Driven Market Volatility: An Experimental Study (1991)
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