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Heterogeneous expectations in the gold market: Specification and estimation

机译：黄金市场的异质期望：规格和估计

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摘要

The increase in the price of gold between 2002 and 2011 appears to be a candidate for a potential asset price 'bubble', suggesting that chartists (feedback traders) were highly active in the gold market during this period. Hence, this paper develops and tests empirically several models incorporating heterogeneous expectations of agents, specifically fundamentalists and chartists, for the gold market. The empirical results show that both agent types are important in explaining historical gold prices but that the 10-year bull run of gold in the early 2000s is consistent with the presence of agents extrapolating long-term trends. Technically this paper is a further step toward providing an empirical foundation for certain assumptions used in the heterogeneous agents literature. For example, the empirical results presented in this paper compare the economical and statistical significance of numerous switching variable specifications that are generally only introduced ad hoc.
机译：2002年至2011年之间的金价上涨似乎是潜在资产价格“泡沫”的候选者，这表明在此期间，图表专家（反馈交易员）在黄金市场上非常活跃。因此，本文通过经验开发和测试了几种模型，这些模型结合了代理商对黄金市场的不同期望，特别是原教旨主义者和宪章主义者。实证结果表明，两种代理人类型对于解释历史黄金价格都很重要，但是2000年代初的10年黄金牛市行情与推断长期趋势的代理人的存在是一致的。从技术上讲，本文是为异构代理文献中使用的某些假设提供经验基础的又一步。例如，本文提供的经验结果比较了通常只是临时引入的许多开关变量规格的经济和统计意义。

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