Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/210122 
Year of Publication: 
2017
Series/Report no.: 
Working Paper No. 12/2017
Publisher: 
Norges Bank, Oslo
Abstract: 
We estimate a generic agent-based model in which agents have heterogeneous beliefs about the future price to see to what extent behaviour differs across assets, and what this implies for market stability. We find evidence for behavioural heterogeneity for all asset classes, except for equities. Heterogeneity is especially pronounced for macro-economic variables. Agents update their beliefs frequently in financial markets, and only gradually in the case of macro-economic variables. Consequently, we find that the probability of behavioural bubbles is substantially higher for the macro-economic variables than for financial assets.
Subjects: 
financial markets
heterogeneous expectations
market stability
JEL: 
E31
G12
G15
Persistent Identifier of the first edition: 
ISBN: 
978-82-7553-990-6
Creative Commons License: 
cc-by-nc-nd Logo
Document Type: 
Working Paper
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