Heuristic-based behavioural models with an application to macroeconomics.

Funding: 2014: $60,000
2015: $65,000
2016: $65,000

Project Member(s): Anufriev, M.

Funding or Partner Organisation: Australian Research Council (ARC Discovery Projects)
University of Amsterdam - Universiteit van Amsterdam (University of Amsterdam)

Start year: 2014

Summary: This project will develop behavioural micro-foundations for economic models with heterogeneous agents. In these models the interaction of decision rules used by agents leads to complex phenomena at the aggregate level, e.g., the cycles of bubbles and crashes. The agents switch between decision rules on the basis of past performance. However, a broad range of specifications of the rules and switching mechanisms has led to many degrees of freedom in modelling. In this project, laboratory experiments with paid human subjects will be used to discipline this modelling. The resulting models will improve macroeconomic and financial policy responses to volatile market conditions.

Publications:

Anufriev, M & Kopányi, D 2018, 'Oligopoly game: Price makers meet price takers', Journal of Economic Dynamics and Control, vol. 91, pp. 84-103.
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Anufriev, M, Bao, T, Sutan, A & Tuinstra, J 2018, 'Fee Structure and Mutual Fund Choice: An Experiment', Journal of Economic Behavior and Organization, vol. 158, pp. 449-474.
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Anufriev, M, Chernulich, A & Tuinstra, J 2018, 'A laboratory experiment on the heuristic switching model', Journal of Economic Dynamics and Control, vol. 91, pp. 21-42.
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van de Leur, M & Anufriev, M 2018, 'Timing under individual evolutionary learning in a continuous double auction', Journal of Evolutionary Economics, vol. 28, no. 3, pp. 609-631.
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Anufriev, M, Bao, T & Tuinstra, J 2015, 'Microfoundations for Switching Behavior in Heterogeneous Agent Models: An Experiment', Journal of Economic Behavior and Organization, vol. 129, pp. 74-99.
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Anufriev, M, Hommes, CH & Makarewicz, T 2015, 'Simple Forecasting Heuristics that Make Us Smart: Evidence from Different Market Experiments', Journal of the European Economic Association, vol. 17, no. 5, pp. 1538-1584.
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Keywords: Heterogeneous Agent Models, Bounded Rationality, Laboratory Experiments

FOR Codes: Monetary Policy, Macroeconomics (incl. Monetary and Fiscal Theory), Experimental Economics, Applied Economics not elsewhere classified, Expanding Knowledge in Economics, Applied economics not elsewhere classified

Acknowledgement of Country

UTS acknowledges the Gadigal people of the Eora Nation, the Boorooberongal people of the Dharug Nation, the Bidiagal people and the Gamaygal people, upon whose ancestral lands our university stands. We would also like to pay respect to the Elders both past and present, acknowledging them as the traditional custodians of knowledge for these lands.