Kouwenberg Roy, Zwinkels Remco C J
College of Management, Mahidol University, Bangkok, Thailand.
Finance Department, VU University, Amsterdam, The Netherlands; Tinbergen Institute, Amsterdam, The Netherlands.
PLoS One. 2015 Jun 24;10(6):e0129070. doi: 10.1371/journal.pone.0129070. eCollection 2015.
Economic history shows a large number of boom-bust cycles, with the U.S. real estate market as one of the latest examples. Classical economic models have not been able to provide a full explanation for this type of market dynamics. Therefore, we analyze home prices in the U.S. using an alternative approach, a multi-agent complex system. Instead of the classical assumptions of agent rationality and market efficiency, agents in the model are heterogeneous, adaptive, and boundedly rational. We estimate the multi-agent system with historical house prices for the U.S. market. The model fits the data well and a deterministic version of the model can endogenously produce boom-and-bust cycles on the basis of the estimated coefficients. This implies that trading between agents themselves can create major price swings in absence of fundamental news.
经济史显示出大量的繁荣-萧条周期，美国房地产市场就是最新的例子之一。经典经济模型一直无法对这类市场动态提供完整解释。因此，我们采用一种替代方法——多主体复杂系统来分析美国的房价。与经典的主体理性和市场效率假设不同，该模型中的主体是异质的、适应性的且有限理性的。我们用美国市场的历史房价数据来估计这个多主体系统。该模型对数据拟合良好，并且基于估计系数，模型的确定性版本能够内生地产生繁荣-萧条周期。这意味着在没有基本面消息的情况下，主体之间的交易本身就能造成重大的价格波动。
