Author: A. TimmermannPublisher:
ISBN:
Category :
Languages : en
Pages : 31
Book Description
Characterisations of Rational Expectations Solutions to Present Value Models with Feedback
Author: A. TimmermannCharacterisations of Rational Expectations Solutions to Present Value Models with Feedback
Author: Allan G. TimmermannCharacterisations of Rational Expectations Solutions to Present Value Models with Feedback
Author: Allan TimmermannPublisher:
ISBN:
Category : Present value analysis
Languages : en
Pages : 25
Book Description
Linear Rational Expectations Models
Author: Charles H. WhitemanPublisher: U of Minnesota Press
ISBN: 1452907935
Category : Business & Economics
Languages : en
Pages : 151
Book Description
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.
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]
Solution Techniques for Rational Expectations Models
Author: Charles H. WhitemanPublisher:
ISBN:
Category : Economics
Languages : en
Pages : 37
Book Description
Rational Expectations and Econometric Practice
Author: Robert E. LucasPublisher: U of Minnesota Press
ISBN: 1452908281
Category :
Languages : en
Pages : 335
Book Description
Assumptions about how people form expectations for the future shape the properties of any dynamic economic model. To make economic decisions in an uncertain environment people must forecast such variables as future rates of inflation, tax rates, governme.
Contents of Recent Economics Journals
Author: Methods of Solution and Simulation for Dynamic Rational Expectations Models
Author: Olivier J. BlanchardPublisher:
ISBN:
Category : Rational expectations (Economic theory)
Languages : en
Pages : 38
Book Description
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.