Long-run expectations in a learning-to-forecast experiment

We conduct a Learning to Forecast Experiment using a novel setting in which we elicit subjects' short- and long-run expectations on the future price of an asset. We find that: (i) the rational expectations equilibrium is not a meaningful description for the whole time spectrum of subjects'...

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Published inApplied economics letters Vol. 25; no. 10; pp. 681 - 687
Main Authors Colasante, Annarita, Alfarano, Simone, Camacho, Eva, Gallegati, Mauro
Format Journal Article
LanguageEnglish
Published London Routledge 07.06.2018
Taylor & Francis LLC
Subjects
Assets
coordination
Economic analysis
Economic forecasting
Economic theory
Economics
Learning
learning-to-forecast experiments
Long-run expectations
Prices
Rational expectations
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Summary:We conduct a Learning to Forecast Experiment using a novel setting in which we elicit subjects' short- and long-run expectations on the future price of an asset. We find that: (i) the rational expectations equilibrium is not a meaningful description for the whole time spectrum of subjects' expectations; (ii) they are, instead, better described by an anchor-and-adjustment learning scheme; (iii) subjects exhibit a higher degree of heterogeneity in their long-run expectations vis-à-vis short-run expectations.
Bibliography:ObjectType-Article-1
SourceType-Scholarly Journals-1
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content type line 14
ISSN:1350-4851
1466-4291
DOI:10.1080/13504851.2017.1355537