Financial crisis and slow recovery with Bayesian learning agents

Horii, Ryo; Ono, Yoshiyasu

doi:https://doi.org/10.1111/ijet.12322

Financial crisis and slow recovery with Bayesian learning agents

Horii, Ryo; Ono, Yoshiyasu

International Journal of Economic Theory, 2021, 18(4), 578-606

アクセス数:105件（2025-03-23 00:58 集計）

固定URL: https://hdl.handle.net/11094/86291

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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
著者	NRID 1000070130763 1000070130763 researchmap permalink read0047247 read0047247 Scopus Author ID 7402959644 7402959644 著者名 Ono, Yoshiyasu
キーワード等	asymmetric cycles
	Bayesian updating
	liquidity preference
	Markov switching
	preference
内容	This is the peer reviewed version of the following article: Horii, R. & Ono, Y. (2021) Financial crisis and slow recovery with Bayesian learning agents. International Journal of Economic Theory, 1– 29, which has been published in final form at https://doi.org/10.1111/ijet.12322. This article may be used for non-commercial purposes in accordance with Wiley Terms and Conditions for Use of Self-Archived Versions. This article may not be enhanced, enriched or otherwise transformed into a derivative work, without express permission from Wiley or by statutory rights under applicable legislation. Copyright notices must not be removed, obscured or modified. The article must be linked to Wiley’s version of record on Wiley Online Library and any embedding, framing or otherwise making available the article or pages thereof by third parties from platforms, services and websites other than Wiley Online Library must be prohibited.
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 postcrisis 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	John Wiley and Sons Inc
収録物名	International Journal of Economic Theory
巻(号)	18(4)
ページ	578-606
刊行年月	2021-08-20
言語	英語
ハンドルURL	https://hdl.handle.net/11094/86291
PISSN	17427355
eISSN	17427363
NCID	AA1210142X
NCID	AA12025310
関連情報 (isVersionOf)	DOI (出版社版) https://doi.org/10.1111/ijet.12322
アクセス権	open access
出版タイプ	Accepted Manuscript
カテゴリ	学術雑誌論文 Journal Article

資源タイプ	学術雑誌論文
ローカル資源タイプ	学術雑誌論文
DCMI資源タイプ	text
DCTERMS.bibliographicCitation	International Journal of Economic Theory. 2021, 18(4), p. 578-606
DC.title	Financial crisis and slow recovery with Bayesian learning agents
DC.creator	Horii, Ryo
DC.creator	Ono, Yoshiyasu
DC.publisher	John Wiley and Sons Inc
DC.language' scheme='DCTERMS.RFC1766	英語
DC.type' scheme='DCTERMS.DCMIType	text
DCTERMS.issued' scheme='DCTERMS.W3CDTF	2021-08-20
DC.identifier	https://doi.org/10.1111/ijet.12322
DC.subject	asymmetric cycles
	Bayesian updating
	liquidity preference
	Markov switching
	preference
DC.description	This is the peer reviewed version of the following article: Horii, R. & Ono, Y. (2021) Financial crisis and slow recovery with Bayesian learning agents. International Journal of Economic Theory, 1– 29, which has been published in final form at https://doi.org/10.1111/ijet.12322. This article may be used for non-commercial purposes in accordance with Wiley Terms and Conditions for Use of Self-Archived Versions. This article may not be enhanced, enriched or otherwise transformed into a derivative work, without express permission from Wiley or by statutory rights under applicable legislation. Copyright notices must not be removed, obscured or modified. The article must be linked to Wiley’s version of record on Wiley Online Library and any embedding, framing or otherwise making available the article or pages thereof by third parties from platforms, services and websites other than Wiley Online Library must be prohibited.
DCTERMS.abstract	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 postcrisis 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.
DC.format	86291
citation_title	Financial crisis and slow recovery with Bayesian learning agents
citation_author	Horii, Ryo
citation_author	Ono, Yoshiyasu
citation_publisher	John Wiley and Sons Inc
citation_language	英語
citation_date	2021-08-20
citation_journal_title	International Journal of Economic Theory
citation_volume	18
citation_issue	4
citation_firstpage	578
citation_lastpage	606
citation_doi	https://doi.org/10.1111/ijet.12322
citation_public_url	https://hdl.handle.net/11094/86291

Financial crisis and slow recovery with Bayesian learning agents

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