کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
883409 1471636 2016 26 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Microfoundations for switching behavior in heterogeneous agent models: An experiment
ترجمه فارسی عنوان
بنیان های خرد برای تعویض رفتار در مدل های عامل ناهمگن : تجربه
کلمات کلیدی
مدل های عامل ناهمگن؛ انتخاب گسسته؛ سوئیچینگ؛ آزمایش
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
چکیده انگلیسی


• We run an individual dynamic experiment on discrete choice between few alternatives.
• We study the effect of past performance of alternatives on switching behavior.
• A discrete choice model with predisposition effect fits the data reasonably well.
• Intensity of choice parameter is not universal and depends on the returns structure.
• These findings provide a microfoundation for heterogeneous agent models.

We run a laboratory experiment to study how human subjects switch between several profitable alternatives, framed as mutual funds, in order to provide a microfoundation for so-called heterogeneous agent models. The participants in our experiment have to choose repeatedly between two, three or four experimental funds. The time series of fund returns are exogenously generated prior to the experiment and participants are paid for each period according to the return of the fund they choose. For most cases participants’ decisions can be successfully described by a discrete choice switching model, often applied in heterogeneous agent models, provided that a predisposition toward one of the funds is included. The estimated intensity of choice parameter of the discrete choice model depends on the structure of the fund returns. In particular, it increases with correlation between past and future returns. This suggests human subjects do not myopically chase past returns, but are more likely to do so when past returns are more predictive of future returns, a feature that is absent in the standard heterogeneous agent models.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Economic Behavior & Organization - Volume 129, September 2016, Pages 74–99
نویسندگان
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