Author: W. M. ScarthPublisher:
ISBN:
Category : Applied mathematics
Languages : en
Pages :
Book Description
A note on non-uniqueness in rational expectations models
Author: W. M. ScarthPublisher:
ISBN:
Category : Applied mathematics
Languages : en
Pages :
Book Description
On Non-uniqueness in Rational Expectations Models
Author: Bennett T. McCallumPublisher:
ISBN:
Category : Econometrics
Languages : en
Pages : 66
Book Description
Many macroeconomic models involving rational expect at ions give rise to an infinity of solution paths, even when the models are linear in all variables. Some writers have suggested that this non-uniqueness constitutes a serious weakness for the rational expectations hypothesis. One purpose of the present paper is to argue that the non-uniqueness in question is not properly attributable to the rationality hypothesis but, instead, is a general feature of dynamic models involving expectations. It is also argued that there typically exists, in a very wide class of linear rational expectations models, a single solution that excludes "bubble" or "bootstrap" effects ones that occur only because they are arbitrarily expected to occur. A systematic procedure for obtaining solutions free from such effects is introduced and discussed. In addition, this procedure is used to interpret and reconsider several prominent examples with solution multiplicities, including ones developed by Fischer Black and John B. Taylor. [Resumen de autor]
On Non-uniqueness in Rational Expectations Models
Author: Bennett T. MacCallumPublisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
Many macroeconomic models involving rational expect at ions give rise to an infinity of solution paths, even when the models are linear in all variables. Some writers have suggested that this non-uniqueness constitutes a serious weakness for the rational expectations hypothesis. One purpose of the present paper is to argue that the non-uniqueness in question is not properly attributable to the rationality hypothesis but, instead, is a general feature of dynamic models involving expectations. It is also argued that there typically exists, in a very wide class of linear rational expectations models, a single solution that excludes "bubble" or "bootstrap" effects -- ones that occur only because they are arbitrarily expected to occur. A systematic procedure for obtaining solutions free from such effects is introduced and discussed. In addition, this procedure is used to interpret and reconsider several prominent examples with solution multiplicities, including ones developed by Fischer Black and John B. Taylor
The Econometric Analysis of Non-Uniqueness in Rational Expectations Models
Author: L. BrozePublisher: Elsevier
ISBN: 1483296288
Category : Business & Economics
Languages : en
Pages : 249
Book Description
This book is devoted to the econometric analysis of linear multivariate rational expectation models. It shows that the interpretation of multiplicity in terms of "new degrees of freedom" is consistent with a rigorous econometric reasoning. Non-uniqueness is the central theme of this book. Each chapter is concerned with a specific econometric aspect of rational expectations equilibria. The most constructive result lies in the possibility of an empirical determination of the equilibrium followed by the economy.
Nonuniqueness in Rational Expectations Models : an Interpretation
Author: Backus, DavidPublisher: Kingston, Ont. : Institute for Economic Research, Queen's University
ISBN:
Category :
Languages : en
Pages : 10
Book Description
A Note on the Uniqueness of Solutions to Rational Expectations Models
Author: Christopher HeibergerNon-uniqueness of Rational Expectations Equilibria
Author: Peter SkottReduced Forms of Rational Expectations Models
Author: L. BrozePublisher: Routledge
ISBN: 1136457739
Category : Business & Economics
Languages : en
Pages : 134
Book Description
A comprehensive exposition of rational expectations models is provided here, working up from simple univariate models to more sophisticated multivariate and non-linear models.
A Note on the "uniqueness" of Rational Expectations
Author: Robert FordThe Origin and the Resolution of Nonuniqueness in Linear Rational Expectations
Author: John G. ThistlePublisher:
ISBN:
Category : Rational expectations (Economic theory)
Languages : en
Pages : 82
Book Description