Price dynamics in an exchange economy

被引:9
作者
Gjerstad, Steven [1 ]
机构
[1] Chapman Univ, Econ Sci Inst, Orange, CA 92866 USA
关键词
Competitive equilibrium; Disequilibrium dynamics; Continuous double auction; Experimental economics; Exchange economy; Hahn process; Tatonnement; Time series; Unit root tests; GENERAL EQUILIBRIUM; GLOBAL INSTABILITY; STABILITY; MARKETS; TESTS;
D O I
10.1007/s00199-011-0651-5
中图分类号
F [经济];
学科分类号
02 ;
摘要
The pure exchange model is the foundation of the neoclassical theory of value, yet equilibrium predictions and price adjustment dynamics for this model remained untested prior to the experiment reported in this paper. With the exchange economy replicated several times, prices and allocations in most experiment sessions adjust toward the competitive equilibrium in continuous double auction trading, though adjustment is much slower than in previous commodity flow (or perishable good) double auction market experiments. Price adjustment is evaluated by comparing its extent within each market replication (or trading period) to its extent across trading periods. More price adjustment occurs within trading periods than across trading periods, so price adjustment data are evaluated with the disequilibrium Hahn process model (Hahn and Negishi in Econometrica 30:463-469, 1962) of within-period trades. This paper introduces a stochastic version the Hahn process model and demonstrates that a linear approximation to this stochastic model yields an autoregressive process with a near unit root when the adjustment rate is low. In effect, the autoregressive price adjustment model studied extensively by time series econometricians over the past 30 years can be viewed as a reduced form of a stochastic disequilibrium exchange economy price adjustment model. Estimation of the model demonstrates that price adjustment in the exchange economy experiment is considerably slower than in economies without income effects, which suggests that the price discovery process may be a significant factor in the slow adjustment documented by applied econometricians.
引用
收藏
页码:461 / 500
页数:40
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