Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/153830 
Year of Publication: 
2011
Series/Report no.: 
ECB Working Paper No. 1396
Publisher: 
European Central Bank (ECB), Frankfurt a. M.
Abstract: 
We study the dynamics of a Lucas-tree model with finitely lived agents who "learn from experience." Individuals update expectations by Bayesian learning based on observations from their own lifetimes. In this model, the stock price exhibits stochastic boom-and-bust fluctuations around the rational expectations equilibrium. This heterogeneous-agents economy can be approximated by a representative-agent model with constant-gain learning, where the gain parameter is related to the survival rate.
Subjects: 
assett pricing
bubbles
Heterogeneous Agents
Learning from experience
OLG
JEL: 
G12
D83
D84
Document Type: 
Working Paper

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