Price expectations in goods and financial markets : new developments in theory and empirical research



Price expectations in goods and financial markets : new developments in theory and empirical research

edited by Francois Gardes. Georges Prat

Edward Elgar, 2000

大学図書館所蔵 件 / 16



Includes bibliographical references and index



Analysing how price expectations are formed is essential since the dynamics of market prices are mainly driven by the agent's belief concerning the future values of prices and by the uncertainty characterising these values. This is a difficult task as prices are highly volatile in most markets and expectational behaviour is heterogeneous and unstable. This volume discusses the concept of rationality of expectations from both a theoretical and an empirical point of view, and on individual and collective levels. Concerning the first aspect, the book focuses on how agents collect and process information and how market opinion is formed. Concerning the second aspect, the book presents studies based on individual price expectations and on the `consensus' revealed by survey data. To appreciate the degree of generality of expectational behaviour, the contributors analyse price expectations in a variety of markets, periods and countries. Great attention is paid to financial markets which have represented the main field of analysis of expectations over the last ten years. Four main lessons stem from the works presented in this book. First, if the REH in the muthian sense seems now invalidated, this result does not mean that there is not rationality in price expectations: on the one hand, expectations may be economically rational in the sense of the advantage-cost analysis, and, on the other hand, the exchange of information between agents through the market may involve some mimetic rationalities. Second, it appears important to take into account the individual nature of expectations both at the theoretical and empirical levels: generally, the heterogeneity is not neutral in reaching an economic equilibrium or in estimating expectational processes. Third, expectational behaviour change over time: both the processes and the parameters which intervene in these processes are time-varying, especially according to the volatility of the variables. Fourth, a combination of these three basic processes appears to be successful in explaining the dynamics of expectations, although the expectational process is rather extrapolative (destabilising) when the horizon is short and rather regressive and adaptive (stabilising) when the horizon is long.


Contents: Foreword by M. Hashem Pesaran Introduction Part I: Rationality, Heterogeneity and Formation of Expectations: Concepts and Theoretical Analyses 1. From Self-fulfilling to Self-correcting Expectations 2. About the Origins of the Player's Expectations in Game Theory 3. Common Knowledge and the Information Revealed through Prices 4. Private Information, Public Information, Expectations and Prices in Financial Markets 5. Imitative Expectations and Informational Paradox 6. Rare Events and Stock Price Expectations Part II: Rationality, Heterogeneity and Formation of Expectations: Lessons from Survey Data 7. Rationality of Price and Unemployment Expectations 8. Variance Rationality 9. Expectations Formation and Risk in Three Financial Markets 10. The Inconsistency of the Exchange Rate Forecast Term Structure of Expectations 11. The Evidence of a Mixed Expectation Generating Process in the Foreign Exchange Market 12. Modelling Stock Price Expectations Index

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