Convergence Rates of Agents' Learning in Macroeconomic Models

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http://eprints.org/relation/isVersionOf https://pure.iiasa.ac.at/id/document/3908 http://eprints.org/relation/isVolatileVersionOf https://pure.iiasa.ac.at/id/document/3908 http://eprints.org/relation/isCoversheetVersionOf https://pure.iiasa.ac.at/id/document/3908 archive 351 disk0/00/00/41/39 2016-01-15 02:04:16 2021-08-27 17:14:51 2016-01-15 02:04:16 monograph show 2 Johansson K.H. Convergence Rates of Agents' Learning in Macroeconomic Models pub iis_ecn iis_met iis_mod iis_sys prog_ted This paper discusses agents' learning on a market. The price level evolves through a multivariable autoregressive model, which the agents learn in a least-squares sense. A theorem is stated that shows how the agents' learning might be divided into two classes with respect to the learning convergence rate. The results are exemplified by the well-known hyperinflation model. Further, for the hyperinflation model some interesting features concerning the "coupling" between the price and the learning dynamics are discussed. An explicit expression is derived for how the rate of the agents' learning depends upon this coupling. 1994-08 published WP-94-072 WP-94-072 10 public working_paper IIASA, Laxenburg, Austria 21 FALSE info:eu-repo/semantics/book