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诊断预期与信贷周期(Diagnostic Expectations and Credit Cycles)

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添加时间:2015-12-09 23:13:10

最后更新:2015-12-09 23:19:39

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资源简介
Diagnostic Expectations and Credit Cycles
 
Pedro Bordalo, Nicola Gennaioli, Andrei Shleifer
 
November 2015
 
Abstract
 
We present a model of credit cycles arising from diagnostic expectations – a belief formation mechanism based on Kahneman and Tversky’s (1972) representativeness heuristic. In this formulation, when revising their beliefs agents overweight future outcomes that have become more likely in light of incoming data. Diagnostic expectations are forward looking, and as such are immune to the Lucas critique and nest rational expectations as a special case. Diagnostic expectations exhibit excess volatility, over-reaction to news, and systematic reversals. These dynamics can account for several features of credit cycles and macroeconomic volatility.
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