Financial Crisis and Slow Recovery with Bayesian Learning Agents

Horii, Ryo; Ono, Yoshiyasu

Institute of Social and Economic Research Discussion Papers, 2020, 1085, 1-38

アクセス数:462件（2026-02-17 07:40 集計）

固定URL: https://hdl.handle.net/11094/75949

論文情報

ファイル出力 EndNote Basic出力 Mendeley出力

タイトル
Financial Crisis and Slow Recovery with Bayesian Learning Agents
著者
NRID
1000090324855 1000090324855
ORCID
0000-0002-2083-1237 0000-0002-2083-1237
researchmap permalink
horii horii
Scopus Author ID
22934018800 22934018800
著者名
Horii, Ryo
NRID
1000070130763 1000070130763
researchmap permalink
read0047247 read0047247
Scopus Author ID
7402959644 7402959644
著者名
Ono, Yoshiyasu
キーワード等
Bayesian Updating
Liquidity Preference
Markov Switching
Asymmetric Cycles
Persistence
抄録
In a simple continuous-time model where the learning process affects the willingness to hold liquidity, we provide an intuitive explanation of business cycle asymmetry and post-crisis slow recovery. When observing a liquidity shock, individuals rationally increase their subjective probability of re-encountering it. It leads to an upward jump in liquidity preference and a discrete fall in consumption. Conversely, as a period without shocks continues, they gradually decrease the subjective probability, reduce liquidity preference, and increase consumption. The recovery process is particularly slow after many shocks are observed within a short period because people do not easily change their pessimistic view.
出版者
The Institute of Social and Economic Research, Osaka University
収録物名
Institute of Social and Economic Research Discussion Papers
巻(号)
1085
ページ
1-38
刊行年月
2020-03
言語
英語
ハンドルURL
https://hdl.handle.net/11094/75949
PISSN
0473453X
eISSN
24350982
関連情報 (references)
URI
https://www.iser.osaka-u.ac.jp/static/resources/docs/dp/2020/DP1085.pdf
アクセス権
metadata only access
カテゴリ
ディスカッション／ワーキング・ペーパー DP/WP
Institute of Social and Economic Research Discussion Papers