Diagnostic Expectations and Credit Cycles
基于卡尼曼和特沃斯基的代表性启发式，提出诊断性预期这一信念形成机制，并建立信贷周期模型。该机制导致信贷利差过度波动、对新闻过度反应并出现可预测反转，有助于解释信贷周期和宏观经济波动的特征。
ABSTRACT We present a model of credit cycles arising from diagnostic expectations—a belief formation mechanism based on Kahneman and Tversky's representativeness heuristic. Diagnostic expectations overweight future outcomes that become more likely in light of incoming data. The expectations formation rule is forward looking and depends on the underlying stochastic process, and thus is immune to the Lucas critique. Diagnostic expectations reconcile extrapolation and neglect of risk in a unified framework. In our model, credit spreads are excessively volatile, overreact to news, and are subject to predictable reversals. These dynamics can account for several features of credit cycles and macroeconomic volatility.