On Market Dependencies of Agents' Learning for a Hyperinflation Model

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http://eprints.org/relation/isVersionOf https://pure.iiasa.ac.at/id/document/3773 http://eprints.org/relation/isVolatileVersionOf https://pure.iiasa.ac.at/id/document/3773 http://eprints.org/relation/isCoversheetVersionOf https://pure.iiasa.ac.at/id/document/3773 archive 351 disk0/00/00/37/67 2016-01-15 02:02:40 2021-08-27 17:14:25 2016-01-15 02:02:40 monograph show 2 Johansson K.H. On Market Dependencies of Agents' Learning for a Hyperinflation Model pub iis_mod iis_ecn prog_dyn prog_ysp This paper discusses an economic model for hyperinflation considered by Marcet and Sargent. The model describes the relation between the current price level, the money supply, and the agents' forecasting of the future price. The agents' learning is described by an ARMA-model which is fitted to the available series of old prices. It is shown that the agents' learning rate depends upon the inertia of the market, and an implicit formula is given for this dependence. A generalization of the hyperinflation model is also discussed. 1993-09 published WP-93-047 WP-93-047 10 public working_paper IIASA, Laxenburg, Austria 22 FALSE info:eu-repo/semantics/book