Solution Techniques for Rational Expectations Models PDF Download

Author: Charles H. Whiteman
Publisher:
ISBN:
Category : Economics
Languages : en
Pages : 37

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Author: P. G. Fisher
Publisher:
ISBN:
Category : Economics
Languages : en
Pages :

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Author: Mr.Douglas Laxton
Publisher: International Monetary Fund
ISBN: 1451947143
Category : Business & Economics
Languages : en
Pages : 30

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Book Description
The development and use of forward-looking macro models in policymaking institutions has proceeded at a pace much slower than predicted in the early 1980s. An important reason is that researchers have not had access to robust and efficient solution techniques for solving nonlinear forward-looking models. This paper discusses the properties of a new algorithm that is used for solving MULTIMOD, the IMF’s multicountry model of the world economy. This algorithm is considerably faster and much less prone to simulation failures than to traditional algorithms and can also be used to solve individual country models of the same size.

Author: Charles H. Whiteman
Publisher: U of Minnesota Press
ISBN: 1452907935
Category : Business & Economics
Languages : en
Pages : 151

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Author: L. Broze
Publisher: Routledge
ISBN: 1136457739
Category : Business & Economics
Languages : en
Pages : 134

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A comprehensive exposition of rational expectations models is provided here, working up from simple univariate models to more sophisticated multivariate and non-linear models.

Author: Olivier J. Blanchard
Publisher:
ISBN:
Category : Rational expectations (Economic theory)
Languages : en
Pages : 38

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Many methods have been proposed for the solution and simulation of medium or large size models under the assumption of rational expectations. The purpose of this paper is to present these methods, and to show how and where each can be applied. The methods fall into two groups. Methods in the first can be used to solve for perfect foresight paths in non-linear models. Methods in the second can be used in linear models, to solve either for paths or processes followed by endogenous variables. All the methods described here have been used in empirical applications and computer algorithms are available for most.

Author: Douglas Laxton
Publisher:
ISBN:
Category :
Languages : en
Pages : 30

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Book Description
The development and use of forward-looking macro models in policymaking institutions has proceeded at a pace much slower than predicted in the early 1980s. An important reason is that researchers have not had access to robust and efficient solution techniques for solving nonlinear forward-looking models. This paper discusses the properties of a new algorithm that is used for solving MULTIMOD, the IMF`s multicountry model of the world economy. This algorithm is considerably faster and much less prone to simulation failures than to traditional algorithms and can also be used to solve individual country models of the same size.

Author: P. Fisher
Publisher: Springer Science & Business Media
ISBN: 9401580022
Category : Business & Economics
Languages : en
Pages : 215

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Book Description
It is commonly believed that macroeconomic models are not useful for policy analysis because they do not take proper account of agents' expectations. Over the last decade, mainstream macroeconomic models in the UK and elsewhere have taken on board the `Rational Expectations Revolution' by explicitly incorporating expectations of the future. In principle, one can perform the same technical exercises on a forward expectations model as on a conventional model -- and more! Rational Expectations in Macroeconomic Models deals with the numerical methods necessary to carry out policy analysis and forecasting with these models. These methods are often passed on by word of mouth or confined to obscure journals. Rational Expectations in Macroeconomic Models brings them together with applications which are interesting in their own right. There is no comparable textbook in the literature. The specific subjects include: (i) solving for model consistent expectations; (ii) the choice of terminal condition and time horizon; (iii) experimental design: i.e., the effect of temporary vs permanent, anticipated vs. unanticipated shocks; deterministic vs. stochastic, dynamic vs. static simulation; (iv) the role of exchange rate; (v) optimal control and inflation-output tradeoffs. The models used are those of the Liverpool Research Group in Macroeconomics, the London Business School and the National Institute of Economic and Social Research.

Author: Jess Gaspar
Publisher:
ISBN:
Category : Macroeconomics
Languages : en
Pages : 60

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Author: Seonghoon Cho
Publisher:
ISBN:
Category :
Languages : en
Pages : 43

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Book Description
This paper generalizes the standard forward method of recursive substitution to a general class of linear Rational Expectations models with potentially multiple fundamental solutions. We propose a key property embedded in the forward solution -- the no-bubble condition -- as an economically sensible solution refinement in the class of fundamental solutions. In the literature, the no-bubble condition has been assumed to rule out non-fundamental bubble solutions. However, since the condition involves expectations of the future endogenous variables, it must be verified for every Rational Expectations equilibrium. We show that the forward solution is the only fundamental solution satisfying the no-bubble condition and that it is hard to justify economically fundamental solutions violating this condition. We provide several economic examples where the fundamental solutions obtained by other solution methods and refined by other solution selection criteria violate the no-bubble condition.