Learning, regime switches, and equilibrium asset pricing dynamics

Article Abstract:

The autocorrelation features of an equilibrium pricing model with Markow switching in the growth rate of dividends is examined. Unlike similar studies in the past, this study requires that the agent learns the present growth state with the use of observed dividends and Bayes' rule. Results show that learning significantly changes the pattern of returns, frequently resulting in positive autocorrelation, for the model with switching in the mean growth rate. On the other hand, learning generates negative autocorrelation for the GNP-calibrated model with switching in the variance of growth rate.

Learning, Markov processes

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The importance of the number of different agents in a heterogeneous asset-pricing model

Article Abstract:

Research exploring the difference between equilibrium models with small numbers of types and those with realistic number of types in asset-pricing models is presented. It is emphasized that asset-pricing models depend on the number of types.

Computational complexity, Computational complexity (Machine theory)

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Endogenous fluctuations in a simple asset pricing model with heterogeneous agents

Article Abstract:

Adaptive rational equilibrium dynamics in a simple asset pricing model are examined.

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