Learning processes in political economy and financial markets [Elektronische Ressource] / vorgelegt von Christian Michael Merz

Merz Olivier, W. E. Christian

Informations

• Publié par: ludwig-maximilians-universitat_munchen
• Publié le: 01 janvier 2005
• Nombre de lectures: 17

Extrait

2004LearningPh.D.ProMerzcessesPromotionsabscinonPSvoliticalProf.EconomFyorgelegtandMicFinancialt:MarkRadyetsoreferenInaugural-DissertationKlasen,zureratung:Erlangung2005desvGradesvDoChristianctorhaeloRefereneconomiaeProf.publicaeen(Dr.,oKec.t:publ.)StephananPh.D.derhlussbLudwig-Maximilians-Univ9.ersit?tebruarM?nchenGrandma-CafeAgacandknohardwledgemenatswhoIandwmounanIttotoandthankreallymmanifoldyrecosupduringervisorsimplySvunivenallRadytforumeroushistancessuppMunicort,thishelpfultimecommenetssuppandortunitiesdiscussionserduringh-damvypartiesPh.D.thestudiestoatythewSeminaryforeerDynamico!Mondelling.friendsAlsoacquainIinwoutsideanh,tmadetoathankgreatallandcolleaguesvandmefellomoralwortstudenopptstoforvinfromterestingresearcdiscussionsysduringtraseminars,els,conferencestain-trips,andorcoee-breaks.inSpfamousecialnextthanksthegoersitto.moyefamilyof,oumbyorgirl-wfriendand.Con.ten.ts3.1.1Preface.1.1.Learning.in.P.olitical28Econom.y:MoA.Game.Theoretical.MoEconomicdel.to.Ex-Wholeplain.Corruptionelin.Unstable.Economies385Agen1.1.In.tro.ductionLearning.....Cross-Coun.Corruption.........27.......tiating...35.........Financial.Pricing.In....................5.1.2.The2NotionStudyofyCorruption2.1...................Regressions.Set...........Regressions.y.Demo.....Conclusion....6.1.3.The.Mo.del....Learning.ets:.of.Het-.39.duction.................dological.........43.Decision.........44.........25.A12try1.3.1onMoStabilitdelandStructure26.Data.....................................2.2.on.Data........12.1.3.2.Equilibrium..........2.3.Dieren.b.Lev.of.cratization.........2.4..........................17.1.3.3.Impact.of.Stabilit3yin.Mark.A.del.Asset.with.erogeneous.ts.3.1.tro..............................20.1.439ConclusionMetho.Considerations...................3.1.2.and.Making...................I..CONTENTS.I.I.3.2.The.Mo.del..............ation.In.80.82.Excess.....endix.B.95..................................47Implications3.2.1.Assetsof...................4.2.........................Exploitation................48.3.2.2.Agen.ts........ok.....89.ec.......Chapter.......of.......endix.......y.........T....49.3.2.3.Non-Strategic.Beha.vior..4.2.1...............79.................My........50.3.2.4.Timing..Dynamic.............83.olatilit.............4.5.................4.6.T..........51913.2.5ABeliefAppF1ormation..........used...............App.3.............D.Chapter......51.3.3.Equilibrium..100.................77.Strategic.rading.............................78.Motiv........56.3.3.1.Demand.and.Asset.Price.F.ormation........4.2.2.tuition....................56.3.3.2.Existence.of.Bubbles..4.3.opic.............................4.4.Optimization..........60.3.4.Numerical.Sim.ulation.of.Price.P.aths4.4.1.V.y.........................86.Conclusion....69.3.4.1.The.One.Sho.c.k.Case..............89.Outlo.and.estable.....................Epilogue.App.9270T3.5hnicalConclusionendix.Chapter.....................92.Data.in.2...........................C.endix.Chapter....74.4.An.Extended.Mo.del.of.Asset.Pricing.with.Heterogeneous.Agen100tsApp76of4.14The.Multi.Sho.c.k.Case................Bibliograph.103..PrefaceasWhiledistinguished.theestigatedtitle2offorthisordissertationofisdiscussion"LearninglearningprodevcessesofinimmediatelypyoliticaleconomiceconomareyvandLucasnancialgeneralmarklearning"ets"the-itandcouldtreatedast,wadaptellwithoutb1emore"Learningofin2classicaleconomicanddelsberehaFvioralseeeco-(1987)nomics"(1995)asofthe.wthatorkonpresenexptedconceptsnotSeeonlysocosomeveersitdierenthatterfecteldsnewofyapplicationybutrecenalsomorefacesinclassicalprolearningitselfconceptsvironmeninmaineconomicshwiththe-anequilibriuminnogamevAativlessetionalandalessthisconwvWinenWitttionalandapproacvidehvtohthiseconomictopic."SoTheanotherimpbortanceisofoth,learningandasandaedkeeycascades"cesharacteristicdetailsoflearning.hasumansortbpassivehaadjustmenviori.e.andwtheassumedbaseactorsforppropandertodecisioncircumstancesmakinganisfrictionsseldomdeladenied.amongIneconomiststnoearswandadaeconomistsys.vHothewcessevlearninger,intheenprots.cessTheofareaslearningresearcwinaslearningaory"blacrationalkmobandotheoryx"3fornewaandlongcontimeenin1theoreldbroadofofeconomictopicre-Arrosearc(1987),h.(1987),Theterfoandcus(1992).wKirmanasSalmonnotproonalearningoitselferviewbutresearcononitsinoutcometheoryand3itscialconsequences,isnamelyeldthecouldpeerfectItrationalbasedbbehagameviororythatrationalisectations,usuallyhasassumedelopwhennewdescribinglikde-"herding"cision"informationalproetc.cessesVivof(1996)economicmoreactors.onLearningcialw1aswhenPrefacewapproacimphconcepts.tothelearningereinandeconomicmoresettingsmoreisthedonetheyinonetheTheeldFofvbwitheharene-vioraltheeconomics.e.Rrelativationaldeter-eappliedquilibriumdierenlearninggamemomodelseconomistswecameorkvideonrationalthehanismsbasisandoflibria,statisticalequilibriummethoequilibriadsrequireswheretheagenerrorstsofupclearlydateandtheirthebresults.eliefsoftenabeconomicoutproblemsantheuncertainOneenoliticalvironmenttareabasedtheonrationalitobser-deeplyvofationsandtheyerviewmakbuildsebutandadditionalsignalsdevtheyequilibriumreceivcope.ultipleItcommoniswithassumeddels.thatteconomicwssubresultsjectsassumptionshaehavteractionseotenexacttsinformationTheabtheoryoutequilibriumprobabilitinyhomogeneitdistributionserhapsoftuncertainandevofenthants,vtheyeenin-observterpretandsignalstorighvtareasandoftheyframewhaofviseysucienwilltclassicalcalculationincapabilitiesChaptertosidepiserformternalizedevcon-enassumptionscomplexsomeupwdatingwheretasksbcorrectly(1991).oThegamecommonoryadjustmenontlearningoraddsupariousdatingmecmectohanismelopissophisticatedBaconceptsytoesianelearning.mLearningequi-inathisproblemsensedealingisrationalthemoadditionTheofmennewofinformationallotoforapreciseformerbutsetadditionalofonknobwledgevior,andintheandadjustmenpttialofagenthemakagen4tsstrengthbgameestanddecisionrationaltoconceptthisliesjoinitstesetyofpinformationmoreusingortanutilitinyprecisionmaximizationtheconcepts.minationTheitsabilitiesMoretothatprohacessethebinformationsuccessfullyandtotoedcalculatephenomenaoptimalwresultsableareunifyassumedfromtoerybtewithingivroenoffromtheoreticaltheork.bexampleegin-appliedningtheoryandpareeconomnotandcehangedpresenoavlearningerdeltime.thisThinus1.theotheragenoftsmedalwthanorkinintheaymeccepthanisticitswsoathatybandunanoaredeviationsphenomenafrom4optimaludenbergehaTiroleviorproareanallovwofed.theoreticGame2ThehangesPrefacephenomenatheoptimalconceptortanofprorational6equilibriaandmighdetailed.tofnotbbforearetheeepingbthoughestdescribsolutionvioraloredwhereattemptsbcussingehakindsviorvioroborviouslyandisdradrivlearningenspbwithycaotherSectionforces.thePsycforhologymetho,tofor.instance,bmenastionsconcepts.manofyalloforcesterpretationthatinconsistenciesinuencetherehpsycumantsbevehamationviorandblifeesidesarationalitChapteryebutumanmostbofnormallythemvioralwo.ereprobablyp3.1.2ersistenttlynancialignored,bmalearningybelopseorbinecauseetheymorearethehardmotovioralgraspviewtheoreticallymoreorthanbofecausethesomeerfectofviorthemforareindividualconinformation,tradictorymakinginbtheirlongnature.enoughAnfromyhoresearcwexpthereobservisecicallyanheterogeneitincreasinginncessingumwbeeronofoffactsbuildingfromeharealdellifeWhileobservcloserationstheandofex-ehapingerimenmoretalthatresultswithoutthatbcannothasbeatsemostexplainedonesatisfactory5b3.1.1yestandardtheeconomichestheorycase.etsEspSeeeciallykwhenreviewloboking3fornewthedsmicrocfoundationassumptionsoforderlargedescribscaleobserveconomicphenomenaphenomenapreciselythereInseemscasetolearningbdels,eehanoeconomicswtoalearningyaaroundcomplexregardingcessactualclassicalindividualInsteadbfoehaonvioroutcomeevpenrationalifehaititdif-wsfersallfromofpmisinerfectofrationalsubbdecisionehaorvior.inThisehaisaswhereastheisgroevidencewingthemdisciplineeitherofhologicalbhehavioreconomicalerimeneandcations.onomicsSpsteps,inenandytriesprogresstoinfor-explainprohcapabilitiesumanallodecisionedmakingwatwillthewbrealorderevidencelinethisofwhenrationalupeconomicbcvioralhoicemoandinpsyc3.hologicalkevidence.a5eyBehatovioralwholeeconomicsectrumtrieshtobsetviorupattempt-exptoerimenetsrigidwhereassumptionsthearedecisionmademakingaoft,hehaumaneconomicsactorsitsisvtractokTheedimpintmoreisorthelessInrealistic3.1,situationsandandwidenwilltiesedeviationsdierenfromapproactheinpredictionsapplicationofofclassicalmarktheorymore.6TheSlemtheoreticalecline(1997)ofabofehainvioralehaeconomicseconomics.thendevdelPrefacepricelacofktofcafrequenunifyingmoframewtheorkobservingwhictheoreticalhqualitmak4estionedbnancialehaerformedvioralChaptereconomicswhardercantovidesgraspfolloanduplessshoeasycantotosetothuptrulesoliticaltodditionallydealthatwithconrmamogivaenoliticalproblem.tsSomeoutcomefacetsbofwth.htryumanhapterbehaehamoviorimpro-makingaspricingbnancialehawithinvioraldeleconomicsandseesofitthe-conceptsseemotoinbyeets.arbitrarye(orempiricalsoascomplexorderthatmadetheyofloThoksetsarbitrarytheoretictoaanetitionobservwhereer)btoofapcertaincorruptdegree.exogenousThistomak2esempiricalitonhardoftoChapterformtheulatebrancprecisetheories.mathematicalismoagendelseasofeconomistswarethatusedandto,observandetseveensetup.harderthetoChapterformdynamiculatemorethem4inbsucofhmenalearningwinawytheoreticalthatdelstheypareeconomcompatibleandtomarkstandardAeconomics.wTpresenoandastudyyw,pitinseemstotopredictionsbfromerststillouruncleardels.whetherus,the1moreuprealitgamey-basedmobinehapvioralcompap-frame-proacorkhagenorlearntheytheoreticallysignalssophisticatedeconomictraditionalandconceptsoliticianswillhideprevactivitiesailehindinshoeconomicksresearcgroh,Chapterorproifanitcross-counwillstudybtheeresultspcossible1.to3comwsbinebbvioralothhoflearningthemAindelasetmeaningfulwherewtsavytheir.yIndecisiontheandfolloewingwwassetebubbleswillotherconfrontlytedthemarkdierenphenomenaapproacbhesexplainedtothislearningChapterinextendseconomics.moThereforeofw3eapresensettingttotgeneralwpaths.oapplicationstheChapterha1FLearnin