Stock prices dynamics and adaptive learning in a general equilibrium framework with heterogeneous production
Abstract
In this paper we test the hypothesis that adding heterogeneity of production and bounded rationality in a form of adaptive learning into a general equilibrium framework may help us explain the asset pricing «stylized facts». We test this hypothesis by developing an asset pricing general equilibrium model of a three-sector production economy for the Russian stock market. The adaptive learning version of the model (compared to the rational expectations one) has appeared to be better in explaining the Russian stock market «stylized facts».
About the Authors
D. V. Kolyuzhnov
Новосибирский национальный исследовательский государственный университет, Новосибирск
Center for Economic Research and Graduate Education, Прага, Чехия
Russian Federation
Russian Federation
V. S. Tolstova
Новосибирский национальный исследовательский государственный университет, Новосибирск
Russian Federation
Russian Federation
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Review
For citations:
Kolyuzhnov D.V., Tolstova V.S. Stock prices dynamics and adaptive learning in a general equilibrium framework with heterogeneous production. World of Economics and Management. 2011;11(3):50–60. (In Russ.)
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