Comparing Behavioural Heterogeneity Across Asset Classes

43 Pages Posted: 1 Apr 2017 Last revised: 15 Sep 2017

See all articles by Saskia ter Ellen

Saskia ter Ellen

Norges Bank

Cars H. Hommes

University of Amsterdam - Amsterdam School of Economics (ASE); CeNDEF; Tinbergen Institute

Remco C. J. Zwinkels

Vrije Universiteit Amsterdam; Tinbergen Institute - Tinbergen Institute Amsterdam (TIA)

Multiple version iconThere are 2 versions of this paper

Date Written: June 30, 2017

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.

Keywords: financial markets, heterogeneous expectations, market stability

JEL Classification: E31, G12, G15

Suggested Citation

ter Ellen, Saskia and Hommes, Cars H. and Zwinkels, Remco C.J., Comparing Behavioural Heterogeneity Across Asset Classes (June 30, 2017). Available at SSRN: https://ssrn.com/abstract=2944022 or http://dx.doi.org/10.2139/ssrn.2944022

Saskia Ter Ellen

Norges Bank ( email )

P.O. Box 1179
Oslo, N-0107
Norway

Cars H. Hommes

University of Amsterdam - Amsterdam School of Economics (ASE) ( email )

Center for Nonlinear Dynamics in Economics and Finance
1018 WB Amsterdam
Netherlands
+31 20 525 4246 (Phone)
+31 20 525 4349 (Fax)

CeNDEF ( email )

Roetersstraat 11
Amsterdam, NL-1018WB
Netherlands

HOME PAGE: http://www1.fee.uva.nl/cendef/

Tinbergen Institute ( email )

Burg. Oudlaan 50
Rotterdam, 3062 PA
Netherlands

Remco C.J. Zwinkels (Contact Author)

Vrije Universiteit Amsterdam ( email )

De Boelelaan 1105
Amsterdam, NL-1081HV
Netherlands
+31 20 59 85220 (Phone)

HOME PAGE: http://research.vu.nl/en/persons/remco-zwinkels

Tinbergen Institute - Tinbergen Institute Amsterdam (TIA) ( email )

Gustav Mahlerplein 117
Amsterdam, 1082 MS
Netherlands

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