关键字：

【ECON20181207】

宏观经济学研讨会

（总第242期）

 

【时间】2018年5月9日（周三）12：15－13：45

【地点】明商0202教室

【主讲】陈朴 中国人民大学经济学院副教授

【主题】Diagnostic Expectation and Credit Cycle（Pedro Bordalo et al., Journal of Finance, 2017）

【点评】薛涧坡 中国人民大学财政金融学院副教授

【摘要】We present a model of credit cycles arising from diagnostic expectations—a belief formation mechanism based on Kahneman and Tversky`s representativeness heuristic. Diagnostic expectations overweight future outcomes that become more likely in light of incoming data. The expectations formation rule is forward looking and depends on the underlying stochastic process, and thus is immune to the Lucas critique. Diagnostic expectations reconcile extrapolation and neglect of risk in a unified framework. In our model, credit spreads are excessively volatile, overreact to news, and are subject to predictable reversals. These dynamics can account for several features of credit cycles and macroeconomic volatility.

【主持】陈彦斌 教授

人大宏观经济学研讨会（Macro Workshop）旨在追踪宏观经济学国际最新进展，倡导构建符合国情的动态优化模型，并使用计算机模拟研究经济增长、收入分配和宏观政策等中国宏观经济重大问题。

联系人：刘哲希    Email：Macro_Workshop@163.com

资料下载：www.docin.com/mydoc-88265459-1.html

更多讲座信息请访问：econ.ruc.edu.cn，www.yanjiuyuan.com.cn。

 

 

中国经济改革与发展研究院