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Social learning and expectational stability
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2024-11-14 DOI: 10.1016/j.jedc.2024.104990
George Evans , Bruce McGough
{"title":"Social learning and expectational stability","authors":"George Evans ,&nbsp;Bruce McGough","doi":"10.1016/j.jedc.2024.104990","DOIUrl":"10.1016/j.jedc.2024.104990","url":null,"abstract":"<div><div>Stability features of social learning (SL) dynamics are examined. We show SL can be formulated as a stochastic recursive algorithm, making it possible to analyze asymptotics using the familiar differential-equation approach. For a simple univariate model, this approach reduces to the E-stability principle, though in prominent instability cases divergence is <em>exceedingly</em> slow compared to adaptive learning (AL). We locate differing fitness criteria as the source of the slower evolution rates of SL compared to AL. Modified AL and SL learning dynamics models are developed and used to illustrate the different implications of policy change in a standard New Keynesian model. We anticipate that the central question going forward will be how best to combine the two approaches when modeling adaptation to structural change.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"172 ","pages":"Article 104990"},"PeriodicalIF":1.9,"publicationDate":"2024-11-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143386653","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Least squares learning? Evidence from the laboratory
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2024-11-08 DOI: 10.1016/j.jedc.2024.104980
Te Bao , Yun Dai , John Duffy
{"title":"Least squares learning? Evidence from the laboratory","authors":"Te Bao ,&nbsp;Yun Dai ,&nbsp;John Duffy","doi":"10.1016/j.jedc.2024.104980","DOIUrl":"10.1016/j.jedc.2024.104980","url":null,"abstract":"<div><div>We report on an experiment testing the empirical relevance of least squares (LS) learning, a common way of modelling how individuals learn a rational expectations equilibrium (REE). Subjects are endowed with the correct perceived law of motion (PLM) for a price level variable they are seeking to forecast, but do not know the true parameterization of that PLM. Instead, they must choose and can adjust the parameters of this PLM over 50 periods. Consistent with the E-stability of the REE in the model studied, 97.8% of subjects achieve weak convergence to the REE in terms of their price level predictions. However, the number of participants that can be characterized as least squares learners via the adjustments they make to the parameterization of the PLM over time depends on properties of the data generating process of the dependent and independent variables. Participants learn the REE faster, and behave more like least squares learners when there is greater variance in the independent variable of the model. We consider several alternatives to least squares learning and find evidence that many subjects employ a simple satisficing approach.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"172 ","pages":"Article 104980"},"PeriodicalIF":1.9,"publicationDate":"2024-11-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143386651","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Reinforcement learning and rational expectations equilibrium in limit order markets
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2024-11-08 DOI: 10.1016/j.jedc.2024.104991
Xuan Zhou , Shen Lin , Xue-Zhong He
{"title":"Reinforcement learning and rational expectations equilibrium in limit order markets","authors":"Xuan Zhou ,&nbsp;Shen Lin ,&nbsp;Xue-Zhong He","doi":"10.1016/j.jedc.2024.104991","DOIUrl":"10.1016/j.jedc.2024.104991","url":null,"abstract":"<div><div>This paper shows that simple payoff-based reinforcement learning can help to achieve rational expectations equilibrium in limit order markets. In equilibrium, speculators mainly supply liquidity, while liquidity consumption increases in the private values of no-speculators with intrinsic motives for trade. Driven by information acquisition of the non-speculators, liquidity consumption is hump-shaped in fundamental volatility for the speculators but U-shaped for the non-speculators. In contrast, liquidity supply decreases in fundamental volatility for the speculators but is hump-shaped for the non-speculators. Unlike the informed traders who trade on asset fundamentals, the uninformed traders trade more on order book and trading information.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"172 ","pages":"Article 104991"},"PeriodicalIF":1.9,"publicationDate":"2024-11-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143386575","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Social learning for the masses
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2024-11-07 DOI: 10.1016/j.jedc.2024.104983
James Bullard
{"title":"Social learning for the masses","authors":"James Bullard","doi":"10.1016/j.jedc.2024.104983","DOIUrl":"10.1016/j.jedc.2024.104983","url":null,"abstract":"<div><div>I consider a plausible role for social learning as implemented in the work of Jasmina Arifovic in a complex macroeconomic environment. The model is DSGE with considerable heterogeneity, enough to approach Gini coefficients for income, wealth, and consumption in the U.S. data. The economy has an ambient stochastic structure, and I consider transition dynamics following exceptionally large shocks like the global financial crisis or the global pandemic. These shocks are large enough to plausibly perturb the economy out of the rational expectations equilibrium associated with more ordinary shocks. How is equilibrium re-established? I argue that a social learning construct may be more appropriate in this environment, as opposed to the econometric learning constructs often used to analyze departures from rational expectations in the literature. I also argue that a “DNA” feature of social learning may have led to relatively fast convergence to rational expectations observed following these large shocks in the U.S. data.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"172 ","pages":"Article 104983"},"PeriodicalIF":1.9,"publicationDate":"2024-11-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143386655","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Leaning against the wind in the New Keynesian model with heterogeneous expectations
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2024-11-07 DOI: 10.1016/j.jedc.2024.104993
Mikhail Anufriev , Fabio Lamantia , Davide Radi , Tomas Tichy
{"title":"Leaning against the wind in the New Keynesian model with heterogeneous expectations","authors":"Mikhail Anufriev ,&nbsp;Fabio Lamantia ,&nbsp;Davide Radi ,&nbsp;Tomas Tichy","doi":"10.1016/j.jedc.2024.104993","DOIUrl":"10.1016/j.jedc.2024.104993","url":null,"abstract":"<div><div>In this paper, we explore the efficiency of the Leaning Against the Wind (LAW) policy within the New Keynesian framework with heterogeneous expectations. To do this, we add a financial sector to the model, linking it with the real sector via the financial accelerator channel. We find that the range of parameters in the Taylor rule that enable the stability of the targeted equilibrium is reduced with the financial accelerator. However, expanding the Taylor rule via the LAW policy fails to counteract this effect and may even exacerbate it if the policy reacts to any mispricing. If applied conditionally on high mispricing, the LAW policy leads to co-existing stable targeted and non-targeted equilibria. Our simulations suggest that while the LAW policy can reduce the amplitude of endogenous fluctuations, it is inefficient in dealing with exogenous shocks and results in larger average deviations from the target.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"172 ","pages":"Article 104993"},"PeriodicalIF":1.9,"publicationDate":"2024-11-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143386652","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Information-constrained coordination of economic behavior
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2024-11-07 DOI: 10.1016/j.jedc.2024.104985
Guy Aridor , Rava Azeredo da Silveira , Michael Woodford
{"title":"Information-constrained coordination of economic behavior","authors":"Guy Aridor ,&nbsp;Rava Azeredo da Silveira ,&nbsp;Michael Woodford","doi":"10.1016/j.jedc.2024.104985","DOIUrl":"10.1016/j.jedc.2024.104985","url":null,"abstract":"<div><div>We analyze a coordination game with information-constrained players. The players' actions are based on a noisy compressed representation of the game's payoffs in a particular case, where the compressed representation is a latent state learned by a variational autoencoder (VAE). Our generalized VAE is optimized to trade off the average payoff obtained over a distribution of possible games against a measure of the congruence between the agent's internal model and the statistics of its environment. We apply our model to the coordination game in the experiment of <span><span>Frydman and Nunnari (2023)</span></span>, and show that it offers an explanation for two salient features of the experimental evidence: both the relatively continuous variation in the players' action probabilities with changes in the game payoffs, and the dependence of the degree of stochasticity of players' choices on the range of game payoffs encountered on different trials. Our approach also provides an account of the way in which play should gradually adjust to a change in the distribution of game payoffs that are encountered, offering an explanation for the history-dependent play documented by <span><span>Arifovic et al. (2013)</span></span>.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"172 ","pages":"Article 104985"},"PeriodicalIF":1.9,"publicationDate":"2024-11-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143386571","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Cooperation in temporary partnerships
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2024-11-07 DOI: 10.1016/j.jedc.2024.104987
Gabriele Camera , Alessandro Gioffré
{"title":"Cooperation in temporary partnerships","authors":"Gabriele Camera ,&nbsp;Alessandro Gioffré","doi":"10.1016/j.jedc.2024.104987","DOIUrl":"10.1016/j.jedc.2024.104987","url":null,"abstract":"<div><div>The literature on cooperation in infinitely repeated Prisoner's Dilemmas covers the extreme opposites of the matching spectrum: <em>partners</em>, a player's opponent never changes, and <em>strangers</em>, a player's opponent randomly changes in every period. Here, we extend the analysis to settings where the opponent changes, but not in every period. In these temporary partnerships, players can deter some deviations by directly sanctioning their partner. Hence, relaxing the extreme assumption of one-period matchings can support some cooperation also off equilibrium because a class of strategies emerges that are less extreme than the typical “grim” strategy. We establish conditions supporting full cooperation as a subgame perfect equilibrium under a social norm that complements direct sanctions with a cyclical community sanction. Though this strategy less effectively incentivizes cooperation, it more effectively incentivizes punishment after a deviation, hence, can be preferable to the grim strategy under certain conditions.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"172 ","pages":"Article 104987"},"PeriodicalIF":1.9,"publicationDate":"2024-11-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143386572","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Cooperation under the shadow of political inequality
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2024-11-06 DOI: 10.1016/j.jedc.2024.104988
Yaroslav Rosokha , Xinxin Lyu , Denis Tverskoi , Sergey Gavrilets
{"title":"Cooperation under the shadow of political inequality","authors":"Yaroslav Rosokha ,&nbsp;Xinxin Lyu ,&nbsp;Denis Tverskoi ,&nbsp;Sergey Gavrilets","doi":"10.1016/j.jedc.2024.104988","DOIUrl":"10.1016/j.jedc.2024.104988","url":null,"abstract":"<div><div>We study cooperation among individuals and groups facing a dynamic social dilemma in which the benefits of cooperation are divided according to political power obtained in a contest. The main theoretical and experimental results focus on the role of the incumbency advantage. Specifically, an incumbency advantage in the political contest leads to a rapid breakdown of cooperation in the social dilemma. In addition, we investigate whether groups behave differently than individuals and provide simulations based on the individual evolutionary learning model of Arifovic and Ledyard (2012) to shed light on the difference observed in the experiment.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"172 ","pages":"Article 104988"},"PeriodicalIF":1.9,"publicationDate":"2024-11-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143386574","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
An individual evolutionary learning model meets Cournot
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2024-11-06 DOI: 10.1016/j.jedc.2024.104992
Jasmina Arifovic , Liang Diao , Nobuyuki Hanaki
{"title":"An individual evolutionary learning model meets Cournot","authors":"Jasmina Arifovic ,&nbsp;Liang Diao ,&nbsp;Nobuyuki Hanaki","doi":"10.1016/j.jedc.2024.104992","DOIUrl":"10.1016/j.jedc.2024.104992","url":null,"abstract":"<div><div>We extend the individual evolutionary learning model by incorporating other-regarding considerations and apply the model to some Cournot games. Using a model fitted to the experimental data of a repeated three-player Cournot game (with non-linear cost and demand functions), we provide out-of-sample predictions regarding the “feedback effects” and “number effects” and test them using the data gathered via newly conducted experiments. The prediction regarding the feedback effect is partially confirmed. Namely, it is observed for the three- and four-player games, but not the two-player game. The prediction regarding the number effect is also partially confirmed in that while the model predicts the number effect to be observed with detailed feedback, and not under aggregate feedback, the effect is observed with both types of feedback.</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"172 ","pages":"Article 104992"},"PeriodicalIF":1.9,"publicationDate":"2024-11-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143386657","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
A Dynare toolbox for social learning expectations
IF 1.9 3区 经济学
Journal of Economic Dynamics & Control Pub Date : 2024-11-05 DOI: 10.1016/j.jedc.2024.104984
Alex Grimaud , Isabelle Salle , Gauthier Vermandel
{"title":"A Dynare toolbox for social learning expectations","authors":"Alex Grimaud ,&nbsp;Isabelle Salle ,&nbsp;Gauthier Vermandel","doi":"10.1016/j.jedc.2024.104984","DOIUrl":"10.1016/j.jedc.2024.104984","url":null,"abstract":"<div><div>Social learning (SL) is a behavioral model in which expectations and the resulting aggregate dynamics stem from the interactions of a large number of heterogeneous agents. Nonetheless, this framework has so far lacked a parsimonious development with a general-solution method. This paper bridges this gap and introduces a <span>Dynare</span> toolbox to solve any linear state-space model with SL expectations, opening up a wide range of potential applications. As an illustration, optimal monetary policy rules are studied in a microfounded New Keynesian (NK) model under SL and rational expectations (RE).</div></div>","PeriodicalId":48314,"journal":{"name":"Journal of Economic Dynamics & Control","volume":"172 ","pages":"Article 104984"},"PeriodicalIF":1.9,"publicationDate":"2024-11-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143386654","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
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