Introduction

I am a PhD candidate at the University of Amsterdam and Tinbergen Institute, under supervision of Cars Hommes and Joep Sonnemans.

My main research fields are behavioral and experimental economics, with a focus on experiments in macroeconomics and finance.

I will be available for interviews at the EEA job market meeting in Naples (6–7 December 2018). I am also willing to join the RES PhD meeting in London (18–19 December 2018) and the ASSA job market meeting in Atlanta (4–6 January 2019).

Working Papers

JOB MARKET PAPER
Experiences and expectations in asset markets: an experimental study

Link to latest version

This paper presents experimental evidence that experienced price patterns in asset markets have a large impact on expectations and thereby affect the (de)stabilization of asset prices in the future. In a controlled learning-to-forecast experiment, subjects first experience a stable or a bubbly asset market before entering into a same- or mixed-experience market. In markets where all subjects experienced stability, convergence to the fundamental price is faster. Bubble formation is faster in markets where all subjects experienced bubbles. In mixed-experience markets, dynamics can go both ways: prices either stabilize or destabilize. Heterogeneity in expectations is larger when more subjects have experienced bubbles before.

Managing bubbles in experimental asset markets with monetary policy

(with Cars Hommes)
Link to latest version

We study the effect of a "leaning against the wind" monetary policy on asset price bubbles in a learning-to-forecast experiment, where prices are driven by the expectations of participants in the market. We find that a strong interest rate response is successful in preventing or deflating large price bubbles, while a weak response is not. Giving information about the interest rate changes and communicating the goal of the policy increases coordination of expectations and works stabilizing. When the steady state fundamental price is unknown and the interest rate rule is based on a proxy instead, the policy is less effective.

Coordination on bubbles in large-group asset pricing experiments

(with Te Bao, Cars Hommes and Domenico Massaro)
Link to latest version

We present a large-group experiment in which participants predict the price of an asset, whose realization depends on the aggregation of individual forecasts. The markets consist of 21 to 32 participants, a group size larger than in most experiments. Multiple large price bubbles occur in six out of seven markets. The bubbles emerge even faster than in smaller markets. Individual forecast errors do not cancel out at the aggregate level, but participants coordinate on a trend-following prediction strategy that gives rise to large bubbles. The observed price patterns can be captured by a behavioral heuristics switching model with heterogeneous expectations.

Planar learning to forecast market games

(with Cars Hommes and Eva Levelt, work in progress)

The stability of equilibria in the economy depends on the way agents form expectations. Previous experimental work has found that the sign and strength of feedback from expectations to realizations is an essential predictor of aggregate market behavior. In this project we aim to generalize these results by investigating how behavior in a two dimensional model depends on the eigenvalues of the underlying expectation feedback system. A motivating example of such a model is the New Keynesian framework. Our findings suggest that eigenvalues can be used as predictors for stability. In the case of positive real eigenvalues we observe a change from stable to unstable dynamics inside the unit circle. We also find that complex eigenvalues of positive real part with a polar angle of π/4 give for more stable dynamics than their real counterparts with equal absolute value. We find evidence that participants considered interaction between the two variables in making their predictions, suggesting the need for some sophistication in generalizing expectation formation models to higher dimensions.

CV

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Please see my CV for more information about my education, research, teaching and work experience.

My academic references are:
Prof. Cars Hommes, University of Amsterdam (c.h.hommes@uva.nl)
Prof. Joep Sonnemans, University of Amsterdam (j.h.sonnemans@uva.nl)
Prof. John Duffy, University of California, Irvine (duffy@uci.edu)

Contact

Email
m.hennequin@uva.nl
Telephone
+31 (0)20 525 4125
Visiting address
REC E3.28
Roetersstraat 11
1018 WB Amsterdam
Postal address
PO Box 15867
1001 NJ Amsterdam
The Netherlands