Author: George W. EvansPublisher:
ISBN: 9789514554452
Category : Applied mathematics
Languages : en
Pages : 71
Book Description
Learning convergence and stability with multiple rational expectations equilibria
Author: George W. EvansPublisher:
ISBN: 9789514554452
Category : Applied mathematics
Languages : en
Pages : 71
Book Description
Learning and Expectations in Macroeconomics
Author: George W. EvansPublisher: Princeton University Press
ISBN: 1400824265
Category : Business & Economics
Languages : en
Pages : 440
Book Description
A crucial challenge for economists is figuring out how people interpret the world and form expectations that will likely influence their economic activity. Inflation, asset prices, exchange rates, investment, and consumption are just some of the economic variables that are largely explained by expectations. Here George Evans and Seppo Honkapohja bring new explanatory power to a variety of expectation formation models by focusing on the learning factor. Whereas the rational expectations paradigm offers the prevailing method to determining expectations, it assumes very theoretical knowledge on the part of economic actors. Evans and Honkapohja contribute to a growing body of research positing that households and firms learn by making forecasts using observed data, updating their forecast rules over time in response to errors. This book is the first systematic development of the new statistical learning approach. Depending on the particular economic structure, the economy may converge to a standard rational-expectations or a "rational bubble" solution, or exhibit persistent learning dynamics. The learning approach also provides tools to assess the importance of new models with expectational indeterminacy, in which expectations are an independent cause of macroeconomic fluctuations. Moreover, learning dynamics provide a theory for the evolution of expectations and selection between alternative equilibria, with implications for business cycles, asset price volatility, and policy. This book provides an authoritative treatment of this emerging field, developing the analytical techniques in detail and using them to synthesize and extend existing research.
Convergence of Adaptive Learning and the Concept of Expectational Stability in Linear Rational Expectations Models with Multiple Equilibria
Author: Maik HeinemannHandbook of Macroeconomics
Author: Michael WoodfordPublisher: Elsevier
ISBN: 9780444501561
Category :
Languages : en
Pages : 822
Book Description
Stability of Functional Rational Expectations Equilibria
Author: Assessing Rational Expectations 2
Author: Roger GuesneriePublisher: MIT Press
ISBN: 9780262262903
Category : Business & Economics
Languages : en
Pages : 498
Book Description
A theoretical assessment of the Rational Expectations Hypothesis through subjecting a collection of economic models to an "eductive stability" test. The rational expectations hypothesis (REH) dominates economic modeling in areas ranging from monetary theory, macroeconomics, and general equilibrium to finance. In this book, Roger Guesnerie continues the critical analysis of the REH begun in his Assessing Rational Expectations: Sunspot Multiplicity and Economic Fluctuations, which dealt with the questions raised by multiplicity and its implications for a theory of endogenous fluctuations. This second volume emphasizes "eductive" learning: relying on careful reasoning, agents must deduce what other agents guess, a process that differs from the standard evolutionary learning experience in which agents make decisions about the future based on past experiences. A broad "eductive" stability test is proposed that includes common knowledge and results in a unique "rationalizable expectations equilibrium." This test provides the basis for Guesnerie's theoretical assessment of the plausibility of the REH's expectational coordination, emphasizing, for different categories of economic models, conditions for the REH's success or failure. Guesnerie begins by presenting the concepts and methods of the eductive stability analysis in selected partial equilibrium models. He then explores to what extent general equilibrium strategic complementarities interfere with partial equilibrium considerations in the formation of stable expectations. Guesnerie next examines two issues relating to eductive stability in financial market models, speculation and asymmetric price information. The dynamic settings of an infinite horizon model are then taken up, and particular standard and generalized saddle-path solutions are scrutinized. Guesnerie concludes with a review of general questions and some "cautious" remarks on the policy implications of his analysis.
Advances in Economic Theory: Volume 2
Author: Econometric Society. World CongressPublisher: Cambridge University Press
ISBN: 9780521484602
Category : Business & Economics
Languages : en
Pages : 466
Book Description
This book gives the reader a unique survey of the most recent advances in economic theory.
Uncertain Decisions
Author: Luigi LuiniPublisher: Springer Science & Business Media
ISBN: 9780792383918
Category : Business & Economics
Languages : en
Pages : 388
Book Description
Uncertain Decisions: Bridging Theory and Experiments presents advanced directions of thinking on decision theory - in particular the more recent contributions on non-expected utility theory, fuzzy decision theory and case-based theory. This work also provides theoretical insights on measures of risk aversion and on new problems for general equilibrium analysis. It analyzes how the thinking that underlies the theories described above spills over into real decisions, and how the thinking that underlies these real decisions can explain the discrepancies between theoretical approaches and actual behavior. This work elaborates on how the most recent laboratory experiments have become an important source both for evaluating the leading theory of choice and decision, and for contributing to the formation of new models regarding the subject.
Economic Dynamics with Learning
Author: Seppo HonkapohjaPublisher:
ISBN:
Category :
Languages : en
Pages : 0
Book Description
Drawing upon recent contributions in the statistical literature, we present new results on the convergence of recursive, stochastic algorithms which can be applied to economic models with learning and which generalize previous results. The formal results provide probability bounds for convergence which can be used to describe the local stability under learning of rational expectations equilibria in stochastic models. Economic examples include local stability in a multivariate linear model with multiple equilibria and global convergence in a model with a unique equilibrium.
Complexity Hints for Economic Policy
Author: Massimo SalzanoPublisher: Springer Science & Business Media
ISBN: 8847005345
Category : Political Science
Languages : en
Pages : 321
Book Description
This book considers the benefits of complexity, suggesting that economists should become a bit less certain in their policy conclusions. A broader range of models would include agent-based models, which use computational power to deal with specification of models that are far beyond analytic solution; and non-linear dynamic stochastic models, many of which are beyond analytic solution, but whose nature can be discovered by a combination of analytics and computer simulations.