Norges Bank

Working Paper

Comparing behavioural heterogeneity across asset classes

Saskia ter Ellen, Cars H. Hommes and Remco C.J. Zwinkels
Working Paper


We estimate a generic agent-based model in which agents have heterogeneous beliefs about the future price to see to what extent behaviour differs across assets, and what this implies for market stability. We find evidence for behavioural heterogeneity for all asset classes, except for equities. Heterogeneity is especially pronounced for macro-economic variables. Agents update their beliefs frequently in financial markets, and only gradually in the case of macro-economic variables. Consequently, we find that the probability of behavioural bubbles is substantially higher for the macro-economic variables than for financial assets.

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ISSN 1502-8143 (online)

Published 3 July 2017 13:03
Published 3 July 2017 13:03