An analysis of the cobweb model with boundedly rational heterogeneous producers

DSpace/Manakin Repository

Search OPUS

Advanced Search


My Account

Show simple item record Chiarella, C He, X-Z Hung, H Zhu, P 2009-12-21T02:36:51Z 2006-12
dc.identifier.citation Journal of Economic Behavior and Organization, 2006, 61 (4), pp. 750 - 768
dc.identifier.issn 0167-2681
dc.identifier.other C1 en_US
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.
dc.language eng
dc.relation.hasversion Accepted manuscript version en_US
dc.relation.isbasedon 10.1016/j.jebo.2004.07.019
dc.rights NOTICE: this is the author’s version of a work that was accepted for publication in Journal of Economic Behavior & Organization. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Journal of Economic Behavior & Organization, [Volume 61, Issue 4, December 2006, Pages 750–768] DOI#” en_US
dc.title An analysis of the cobweb model with boundedly rational heterogeneous producers
dc.type Journal Article
dc.parent Journal of Economic Behavior and Organization
dc.journal.volume 4
dc.journal.volume 61
dc.journal.number 4 en_US
dc.publocation Amsterdam, Netherlands en_US
dc.identifier.startpage 750 en_US
dc.identifier.endpage 768 en_US BUS.School of Finance and Economics en_US
dc.conference Verified OK en_US
dc.for 1402 Applied Economics
dc.personcode 010238
dc.personcode 030348
dc.personcode 716350
dc.percentage 100 en_US Applied Economics en_US
dc.classification.type FOR-08 en_US
dc.description.keywords cobweb model; heterogeneity; bounded rationality; geometric decay learning dynamics; bifurcations en_US
dc.description.keywords Bifurcations
dc.description.keywords Bounded rationality
dc.description.keywords Cobweb model
dc.description.keywords Geometric decay learning dynamics
dc.description.keywords Heterogeneity
pubs.embargo.period Not known
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
pubs.organisational-group /University of Technology Sydney/Strength - Quantitative Finance
utslib.copyright.status Open Access 2015-04-15 12:23:47.074767+10
utslib.collection.history General (ID: 2)

Files in this item

This item appears in the following Collection(s)

Show simple item record