An analysis of the cobweb model with boundedly rational heterogeneous producers

Chiarella, C; He, XZ; Hung, H; Zhu, P

An analysis of the cobweb model with boundedly rational heterogeneous producers

Chiarella, C He, XZ

Hung, H Zhu, P

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Publication Type:: Journal Article
Citation:: Journal of Economic Behavior and Organization, 2006, 61 (4), pp. 750 - 768
Issue Date:: 2006-12-01

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Field	Value	Language
dc.contributor.author	Chiarella, C	en_US
dc.contributor.author	He, XZ https://orcid.org/0000-0003-1446-9996	en_US
dc.contributor.author	Hung, H	en_US
dc.contributor.author	Zhu, P	en_US
dc.date.issued	2006-12-01	en_US
dc.identifier.citation	Journal of Economic Behavior and Organization, 2006, 61 (4), pp. 750 - 768	en_US
dc.identifier.issn	0167-2681	en_US
dc.identifier.uri	http://hdl.handle.net/10453/5148
dc.description.abstract	This paper considers the traditional cobweb model with heterogenous risk averse producers whose supply functions involve their estimates of the conditional mean and variance of the future price. The producers seek to learn these quantities by applying geometric decay processes (GDP) to past prices. The heterogeneity manifests itself in the lag lengths and memory parameters applied to past prices as well as in risk aversion coefficients. We find that each dimension of heterogeneity changes/enriches the cobweb dynamics with respect to the case of homogeneous producers. © 2006 Elsevier B.V. All rights reserved.	en_US
dc.relation	http://purl.org/au-research/grants/arc/DP0450526
dc.relation.ispartof	Journal of Economic Behavior and Organization	en_US
dc.relation.isbasedon	10.1016/j.jebo.2004.07.019	en_US
dc.subject.classification	Economics	en_US
dc.title	An analysis of the cobweb model with boundedly rational heterogeneous producers	en_US
dc.type	Journal Article
utslib.citation.volume	4	en_US
utslib.citation.volume	61	en_US
utslib.for	1402 Applied Economics	en_US
utslib.for	1401 Economic Theory	en_US
utslib.for	1403 Econometrics	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
pubs.organisational-group	/University of Technology Sydney/Faculty of Business/Finance Discipline
pubs.organisational-group	/University of Technology Sydney/Strength - QFRC - Quantitative Finance Research Centre
utslib.copyright.status	open_access
pubs.issue	4	en_US
pubs.publication-status	Published	en_US
pubs.volume	61	en_US

Abstract:

This paper considers the traditional cobweb model with heterogenous risk averse producers whose supply functions involve their estimates of the conditional mean and variance of the future price. The producers seek to learn these quantities by applying geometric decay processes (GDP) to past prices. The heterogeneity manifests itself in the lag lengths and memory parameters applied to past prices as well as in risk aversion coefficients. We find that each dimension of heterogeneity changes/enriches the cobweb dynamics with respect to the case of homogeneous producers. © 2006 Elsevier B.V. All rights reserved.

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http://hdl.handle.net/10453/5148