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Stock-Market Expectations: Econometric Evidence that Both REH and Behavioral Insights Matter 股票市场预期:REH和行为洞察都重要的计量经济学证据
Institute for New Economic Thinking Working Paper Series Pub Date : 2016-05-19 DOI: 10.2139/ssrn.2793421
R. Frydman, Josh R. Stillwagon
{"title":"Stock-Market Expectations: Econometric Evidence that Both REH and Behavioral Insights Matter","authors":"R. Frydman, Josh R. Stillwagon","doi":"10.2139/ssrn.2793421","DOIUrl":"https://doi.org/10.2139/ssrn.2793421","url":null,"abstract":"Behavioral finance views stock-market investors’ expectations as largely unrelated to fundamental factors. Relying on survey data, this paper presents econometric evidence that fundamentals are a major driver of investors’ expectations. Although expectations are also in part extrapolative, this effect is transient. The paper’s approach underscores the central importance of opening models to structural change and imposing discipline on econometric analysis through specification testing. Our findings support the novel hypothesis that rational market participants, faced with unforeseeable change, base their forecasts on both fundamentals - the focus of the REH approach - and the psychological and technical considerations underlying behavioral finance.","PeriodicalId":445141,"journal":{"name":"Institute for New Economic Thinking Working Paper Series","volume":"4 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-05-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126011070","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 3
A Method for Agent-Based Models Validation 一种基于agent的模型验证方法
Institute for New Economic Thinking Working Paper Series Pub Date : 2016-04-28 DOI: 10.2139/ssrn.2772133
M. Guerini, Alessio Moneta
{"title":"A Method for Agent-Based Models Validation","authors":"M. Guerini, Alessio Moneta","doi":"10.2139/ssrn.2772133","DOIUrl":"https://doi.org/10.2139/ssrn.2772133","url":null,"abstract":"This paper proposes a new method for empirically validate simulation models that generate artificial time series data comparable with real-world data. The approach is based on comparing structures of vector autoregression models which are estimated from both artificial and real-world data by means of causal search algorithms. This relatively simple procedure is able to tackle both the problem of confronting theoretical simulation models with the data and the problem of comparing different models in terms of their empirical reliability. Moreover the paper provides an application of the validation procedure to the Dosi et al. (2015) macro-model.","PeriodicalId":445141,"journal":{"name":"Institute for New Economic Thinking Working Paper Series","volume":"30 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-04-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133645199","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 109
Luigi Pasinetti and the Political Economy of Growth and Distribution 路易吉·帕西内蒂和增长与分配的政治经济学
Institute for New Economic Thinking Working Paper Series Pub Date : 2016-04-01 DOI: 10.2139/ssrn.2772130
J. Halévi
{"title":"Luigi Pasinetti and the Political Economy of Growth and Distribution","authors":"J. Halévi","doi":"10.2139/ssrn.2772130","DOIUrl":"https://doi.org/10.2139/ssrn.2772130","url":null,"abstract":"Luigi Pasinetti’s work has deeply affected modern economic theory. His papers on the Cambridge Capital Controversy are world renowned. But he has made many other contributions to the economic debates of the last half century, offering not only detailed criticisms of mainstream economic theory, but also the elaboration of an alternative, more complete, and coherent framework for understanding growth and income distribution, structural change, and trade relations. He has also made notable contributions to discussions of economic policy. Pasinetti’s papers are very clearly written, but many are formidably technical and often build cumulatively on his previous work. This paper provides a careful and synthetic overview of his contributions as well as a reconstruction of Pasinetti’s philosophical approach to economics as a science meant to serve humanity.","PeriodicalId":445141,"journal":{"name":"Institute for New Economic Thinking Working Paper Series","volume":"26 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126341495","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 3
Household Borrowing and the Possibility of 'Consumption-Driven, Profit-Led Growth' 家庭借贷与“消费驱动、利润带动增长”的可能性
Institute for New Economic Thinking Working Paper Series Pub Date : 2016-01-25 DOI: 10.2139/ssrn.2735613
M. Setterfield, Yun K. Kim
{"title":"Household Borrowing and the Possibility of 'Consumption-Driven, Profit-Led Growth'","authors":"M. Setterfield, Yun K. Kim","doi":"10.2139/ssrn.2735613","DOIUrl":"https://doi.org/10.2139/ssrn.2735613","url":null,"abstract":"We first show that, with a Kaleckian structure that is consistent with Pasinetti (1962), the relationship between distribution and growth is more robust than conventional wisdom suggests. Next, we extend our model by incorporating borrowing and emulation effects into workers’ consumption behavior, under different assumptions about how debt is serviced. Our results demonstrate that borrowing and emulation transform the relationship between distribution and growth, giving rise to the possibility of a ``consumption-driven, profit-led’’ growth regime (Kapeller and SchA¼tz, 2015) and what we call the ``paradox of inequality’’. A key conclusion is that the wage-or-profit led characteristics of the growth process, rather than being invariant, can be altered by social constructs such as borrowing and consumption norms that change over time","PeriodicalId":445141,"journal":{"name":"Institute for New Economic Thinking Working Paper Series","volume":"293 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-01-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121408206","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 25
Veiled Repression: Mainstream Economics, Capital Theory, and the Distributions of Income and Wealth 隐晦的压抑:主流经济学、资本理论以及收入和财富的分配
Institute for New Economic Thinking Working Paper Series Pub Date : 2015-12-09 DOI: 10.2139/SSRN.2718708
L. Taylor
{"title":"Veiled Repression: Mainstream Economics, Capital Theory, and the Distributions of Income and Wealth","authors":"L. Taylor","doi":"10.2139/SSRN.2718708","DOIUrl":"https://doi.org/10.2139/SSRN.2718708","url":null,"abstract":"The Cambridge UK vs USA capital theory debates of the 1960s showed that the workhorse mainstream growth model relies on unsustainable assumptions. Its standard interpretation is not consistent with the last four decades of data. Part of an estimated increase in the ratio of personal wealth to income in recent years is due to higher asset prices. The other side of the accounts reveals that financialization and growing business debt partially offset the greater net worth of households. Attempts to interpret growth in wealth principally as a consequence of capitalization of rents are misleading. An alternative growth model based on Cambridge ideas can help correct these misinterpretations.","PeriodicalId":445141,"journal":{"name":"Institute for New Economic Thinking Working Paper Series","volume":"98 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-12-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122049016","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 3
Comments on Paul Davidson's 'Full Employment, Open Economy Macroeconomics, and Keynes’ General Theory: Does the Swan Diagram Suffice?' 评保罗·戴维森的《充分就业、开放经济宏观经济学》和凯恩斯的《通论:天鹅图够了吗?》
Institute for New Economic Thinking Working Paper Series Pub Date : 2015-12-01 DOI: 10.2139/SSRN.2735600
P. Temin, D. Vines
{"title":"Comments on Paul Davidson's 'Full Employment, Open Economy Macroeconomics, and Keynes’ General Theory: Does the Swan Diagram Suffice?'","authors":"P. Temin, D. Vines","doi":"10.2139/SSRN.2735600","DOIUrl":"https://doi.org/10.2139/SSRN.2735600","url":null,"abstract":"This is a response to a critique by Paul Davidson of our 2013 book Keynes: Useful Economics for the World Economy and related work,3 where we describe, amongst other things, how the Swan diagram can be used to show how economies can use policy tools to achieve internal and external balance. In his article “Full Employment, Open Economy Macroeconomics, and Keynes’ General Theory: Does the Swan Diagram Suffice?†Davidson rejects our use of the Swan diagram and argues that it distorts Keynes’ own views. We show here why Davidson’s critique is incorrect, inconsistent and ahistorical.","PeriodicalId":445141,"journal":{"name":"Institute for New Economic Thinking Working Paper Series","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132423220","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Full Employment, Open Economy Macroeconomics, and Keynes’ General Theory: Does the Swan Diagram Suffice? 充分就业、开放经济宏观经济学与凯恩斯的通论:天鹅图够了吗?
Institute for New Economic Thinking Working Paper Series Pub Date : 2015-11-01 DOI: 10.2139/SSRN.2735590
P. Davidson
{"title":"Full Employment, Open Economy Macroeconomics, and Keynes’ General Theory: Does the Swan Diagram Suffice?","authors":"P. Davidson","doi":"10.2139/SSRN.2735590","DOIUrl":"https://doi.org/10.2139/SSRN.2735590","url":null,"abstract":"This paper provides critical comments on the Peter Temin - David Vines promotion of the basic Swan Diagram as (1) a policy tool to encourage any individual debtor nation experiencing balance of payment deficits to reduce its exchange rate in order to expand exports and reduce imports and (2) the Swan Diagram as a simple model for understanding Keynes's General Theory for an Open Economy. This paper explains that the Swan Diagram is completely incompatible with Keynes's analysis. Instead Keynes advocated that the onus should be placed on creditor nations to correct international payments imbalances and thereby promote economic expansion internationally. Keynes warned against any deficit nation adopting a policy that tries to achieve a balance in its international payments by following any policy designed to reduce imports and increase exports. Such a policy sends a contractionary force onto the international economy and tends to injure all trading partners.","PeriodicalId":445141,"journal":{"name":"Institute for New Economic Thinking Working Paper Series","volume":"81 5 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123276642","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
The American Dual Economy: Race, Globalization, and the Politics of Exclusion 美国二元经济:种族、全球化和排斥政治
Institute for New Economic Thinking Working Paper Series Pub Date : 2015-11-01 DOI: 10.2139/SSRN.2692634
P. Temin
{"title":"The American Dual Economy: Race, Globalization, and the Politics of Exclusion","authors":"P. Temin","doi":"10.2139/SSRN.2692634","DOIUrl":"https://doi.org/10.2139/SSRN.2692634","url":null,"abstract":"I describe the American economy in the twenty-first century as a dual economy in the spirit of W. Arthur Lewis. Similar to the subsistence and capitalist economies characterized by Lewis, I distinguish a low-wage sector and a FTE (Finance, Technology, and Electronics) sector. The transition from the low-wage to the FTE sector is through education, which is becoming increasingly difficult for members of the low-wage sector because the FTE sector has largely abandoned the American tradition of quality public schools and universities. Policy debates about public education and other policies that serve the low-wage sector often characterize members of the low-wage sector as black even though the low-wage sector is largely white. This model of a modern dual economy explains difficulties in many current policy debates, including education, healthcare, criminal justice, infrastructure and household debts.","PeriodicalId":445141,"journal":{"name":"Institute for New Economic Thinking Working Paper Series","volume":"67 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122812800","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 35
Exploring the Concept of Homeostasis and Considering its Implications for Economics 探索动态平衡的概念并考虑其对经济学的影响
Institute for New Economic Thinking Working Paper Series Pub Date : 2015-10-01 DOI: 10.2139/ssrn.2735611
A. Damasio, H. Damasio
{"title":"Exploring the Concept of Homeostasis and Considering its Implications for Economics","authors":"A. Damasio, H. Damasio","doi":"10.2139/ssrn.2735611","DOIUrl":"https://doi.org/10.2139/ssrn.2735611","url":null,"abstract":"In its standard format, the concept of homeostasis refers to the ability, present in all living organisms, of continuously maintaining certain functional variables within a range of values compatible with survival. The mechanisms of homeostasis were originally conceived as strictly automatic and as pertaining only to the state of an organism's internal environment. In keeping with this concept, homeostasis was, and still is, often explained by analogy to a thermostat: upon reaching a previously set temperature, the device commands itself to either suspend the ongoing operation (cooling or heating), or to initiate it, as appropriate. This traditional explanation fails to capture the richness of the concept and the range of circumstances in which it can be applied to living systems. Our goal here is to consider a more comprehensive view of homeostasis. This includes its application to systems in which the presence of conscious and deliberative minds, individually and in social groups, permits the creation of supplementary regulatory mechanisms aimed at achieving balanced and thus survivable life states but more prone to failure than the fully automated mechanisms. We suggest that an economy is an example of one such regulatory mechanism, and that facts regarding human homeostasis may be of value in the study of economic problems. Importantly, the reality of human homeostasis expands the views on preferences and rational choice that are part of traditionally conceived Homo economicus and casts doubts on economic models that depend only on an “invisible hand” mechanism.","PeriodicalId":445141,"journal":{"name":"Institute for New Economic Thinking Working Paper Series","volume":"52 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129547468","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 38
Change and Rationality in Macroeconomics and Finance Theory: A New Rational Expectations Hypothesis 宏观经济与金融理论中的变化与理性:一个新的理性预期假说
Institute for New Economic Thinking Working Paper Series Pub Date : 2015-03-08 DOI: 10.2139/ssrn.2586257
R. Frydman, Michael D. Goldberg
{"title":"Change and Rationality in Macroeconomics and Finance Theory: A New Rational Expectations Hypothesis","authors":"R. Frydman, Michael D. Goldberg","doi":"10.2139/ssrn.2586257","DOIUrl":"https://doi.org/10.2139/ssrn.2586257","url":null,"abstract":"We call attention to the class of models that serve as the foundation for the rational expectations hypothesis (REH). Models in this class rule out completely any structural change that cannot be fully anticipated with a probabilistic or other quantitative rule. REH models are abstractions of rational decision-making, but only in a hypothetical world in which participants can fully anticipate when and how they might revise their understanding of the process driving outcomes. We propose a new rational expectations hypothesis (NREH) as a way to represent rational decision- making in real-world markets. NREH builds on the insights of Muth (1961) and Lucas(1972, 2001) and imposes internal coherence between the economist’s under- standing of outcomes and that of the market. However, like Soros’s (1987) conceptual framework, NREH models recognize that any quantitative understanding of the process driving outcomes is necessarily provisional, eventually becomes inadequate, and thus requires revision. Consequently, NREH does so in the context of models that are partly open to unanticipated structural change. NREH models accord participants’ expectations an autonomous role in internally coherent models. They also incorporate REH’s and behavioral economists’ insights about the importance of fundamental and psychological considerations, without presuming that market participants are irrational.","PeriodicalId":445141,"journal":{"name":"Institute for New Economic Thinking Working Paper Series","volume":"8 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-03-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116675321","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 9
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