1. Price expectations in goods and financial markets: new developments in theory and empirical research
- Author
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Prat, Georges, Gardes, François, Modélisation de la dynamique économique et monetaire (MDEM), Université Paris Nanterre (UPN)-Centre National de la Recherche Scientifique (CNRS), CEntre de Recherche en Mathématiques, Statistique et Économie Mathématique (CERMSEM), Université Paris 1 Panthéon-Sorbonne (UP1)-Centre National de la Recherche Scientifique (CNRS), and François Gardes et Georges Prat
- Subjects
game theory ,inflationary expectations ,imitative expectations ,exchange rate expectations ,self-fulfilling expectations ,stock price expectations ,[SHS.ECO]Humanities and Social Sciences/Economics and Finance ,theory of information ,rare events - Abstract
Four main lessons stem from the works presented in this volume. First, the rational expectation hypothesis has to go thoroughly into more general concepts. If the REH in a muthian sense seems now invalidated, this result does not mean that there is not rationality in price expectations : in the one hand, expectations may be economically rational in the sense of the advantage-cost analysis, and, in the other hand, the exchange of informations between agents through the market may involve some other types of rationalities. Secondly, it appears important to respect the individual nature of expectations both at the theoretical and empirical levels : generally, the heterogeneity is not neutral either for reaching an economic equilibrium or for econometrical estimations of expectational processes. Thirdly, expectational behaviors change over time ; both the processes and the parameters which intervene in these processes are changing. Fourthly, while expectational processes are rather extrapolative (destabilizing) when the horizon is short (less or equal to one month), they are rather regressive (stabilizing) when the horizon is long (greater than one month).
- Published
- 2000