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Author : W. M. Scarth
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (593 download)
Download or read book A note on non-uniqueness in rational expectations models written by W. M. Scarth and published by . This book was released on 1984 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Bennett T. McCallum
Publisher :
ISBN 13 :
Total Pages : 66 pages
Book Rating : 4.3/5 (9 download)
Download or read book On Non-uniqueness in Rational Expectations Models written by Bennett T. McCallum and published by . This book was released on 1981 with total page 66 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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]
Author : Bennett T. MacCallum
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (247 download)
Download or read book On Non-uniqueness in Rational Expectations Models written by Bennett T. MacCallum and published by . This book was released on 1983 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: 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
Author : L. Broze
Publisher : Elsevier
ISBN 13 : 1483296288
Total Pages : 249 pages
Book Rating : 4.4/5 (832 download)
Download or read book The Econometric Analysis of Non-Uniqueness in Rational Expectations Models written by L. Broze and published by Elsevier. This book was released on 2014-06-28 with total page 249 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Author : Backus, David
Publisher : Kingston, Ont. : Institute for Economic Research, Queen's University
ISBN 13 :
Total Pages : 10 pages
Book Rating : 4.:/5 (172 download)
Download or read book Nonuniqueness in Rational Expectations Models : an Interpretation written by Backus, David and published by Kingston, Ont. : Institute for Economic Research, Queen's University. This book was released on 1985 with total page 10 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : L. Broze
Publisher : Routledge
ISBN 13 : 1136457739
Total Pages : 134 pages
Book Rating : 4.1/5 (364 download)
Download or read book Reduced Forms of Rational Expectations Models written by L. Broze and published by Routledge. This book was released on 2013-06-17 with total page 134 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 : Kenneth J. Matheny
Publisher :
ISBN 13 :
Total Pages : 23 pages
Book Rating : 4.:/5 (324 download)
Download or read book Equilibrium Beliefs and Non-uniqueness in a Rational Expectations Model of Inflation written by Kenneth J. Matheny and published by . This book was released on 1993 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Peter Skott
Publisher :
ISBN 13 :
Total Pages : 13 pages
Book Rating : 4.:/5 (246 download)
Download or read book Non-uniqueness of Rational Expectations Equilibria written by Peter Skott and published by . This book was released on 1990 with total page 13 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Juan Carlos Di Tata
Publisher :
ISBN 13 :
Total Pages : 28 pages
Book Rating : 4.:/5 (542 download)
Download or read book Non-uniqueness in Stochastic Macroeconomic Models with Rational Expectations written by Juan Carlos Di Tata and published by . This book was released on 1983 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Christopher Heiberger
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (115 download)
Download or read book A Note on the Uniqueness of Solutions to Rational Expectations Models written by Christopher Heiberger and published by . This book was released on 2012 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Charles H. Whiteman
Publisher : U of Minnesota Press
ISBN 13 : 1452907935
Total Pages : 151 pages
Book Rating : 4.4/5 (529 download)
Download or read book Linear Rational Expectations Models written by Charles H. Whiteman and published by U of Minnesota Press. This book was released on 1984 with total page 151 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Stephen J. Turnovsky
Publisher : MIT Press
ISBN 13 : 9780262201230
Total Pages : 698 pages
Book Rating : 4.2/5 (12 download)
Download or read book Methods of Macroeconomic Dynamics written by Stephen J. Turnovsky and published by MIT Press. This book was released on 2000 with total page 698 pages. Available in PDF, EPUB and Kindle. Book excerpt: Just as macroeconomic models describe the overall economy within a changing, or dynamic, framework, the models themselves change over time. In this text Stephen J. Turnovsky reviews in depth several early models as well as a representation of more recent models. They include traditional (backward-looking) models, linear rational expectations (future-looking) models, intertemporal optimization models, endogenous growth models, and continuous time stochastic models. The author uses examples from both closed and open economies. Whereas others commonly introduce models in a closed context, tacking on a brief discussion of the model in an open economy, Turnovsky integrates the two perspectives throughout to reflect the increasingly international outlook of the field. This new edition has been extensively revised. It contains a new chapter on optimal monetary and fiscal policy, and the coverage of growth theory has been expanded substantially. The range of growth models considered has been extended, with particular attention devoted to transitional dynamics and nonscale growth. The book includes cutting-edge research and unpublished data, including much of the author's own work.
Author : P. Fisher
Publisher : Springer Science & Business Media
ISBN 13 : 9401580022
Total Pages : 215 pages
Book Rating : 4.4/5 (15 download)
Download or read book Rational Expectations in Macroeconomic Models written by P. Fisher and published by Springer Science & Business Media. This book was released on 2013-04-17 with total page 215 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 : Michael Mussa
Publisher :
ISBN 13 :
Total Pages : 38 pages
Book Rating : 4.3/5 (9 download)
Download or read book Economically Sensible Solutions for Linear Rational Expectations Models with Forward and Backward Looking Dynamic Processes written by Michael Mussa and published by . This book was released on 1984 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: Using variants of a modified version of Dornbusch's model of price level and exchange rate dynamics, it is demonstrated that satisfaction of the formal condition for existence of a unigue non-explosive solution of a linear rational expectations model with forward and backward looking dynamic processes (equality of the number of stable roots with the number of independent backward looking processes) does not guarantee the economic sensibility of this solution, even if one accepts the usual arguments for excluding "speculative babbles" from the solutions of such models. Moreover, satisfaction of the formal condition for existence of an infinity of non-explosive solutions for such rational expectations models (more stable roots than independent backward looking processes) does not assure that any of these solutions is economically sensible.
Author : Torben M. Andersen
Publisher :
ISBN 13 :
Total Pages : 23 pages
Book Rating : 4.:/5 (465 download)
Download or read book Non-uniqueness of Rational Expectations Eguilibria written by Torben M. Andersen and published by . This book was released on 1988 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Marco P. Tucci
Publisher : Springer Science & Business Media
ISBN 13 : 1402028741
Total Pages : 268 pages
Book Rating : 4.4/5 (2 download)
Download or read book The Rational Expectation Hypothesis, Time-Varying Parameters and Adaptive Control written by Marco P. Tucci and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 268 pages. Available in PDF, EPUB and Kindle. Book excerpt: One of the major controversies in macroeconomics over the last 30 years has been that on the effectiveness of stabilization policies. However, this debate, between those who believe that this kind of policies is useless if not harmful and those who argue in favor of it, has been mainly theoretical so far. The Rational Expectation Hypothesis, Time-Varying Parameters and Adaptive Control wants to represent a step toward the construction of a common ground on which to empirically compare the two "beliefs" and to do this three strands of literature are brought together. The first strand is the research on time-varying parameters (TVP), the second strand is the work on adaptive control and the third one is the literature on linear stationary models with rational expectations (RE). The material presented in The Rational Expectation Hypothesis, Time-Varying Parameters and Adaptive Control is divided into two parts. Part 1 combines the strand of literature on adaptive control with that on TVP. It generalizes the approach pioneered by Tse and Bar-Shalom (1973) and Kendrick (1981) and one recently used in Amman and Kendrick (2002), where the law of motion of the TVP and the hyperstructural parameters are assumed known, to the case where the hyperstructural parameters are assumed unknown. Part 2 is devoted to the linear single-equation stationary RE model estimated with the error-in-variables (EV) method. It presents a new formulation of this problem based on the use of TVP in an EV model. This new formulation opens the door to a very promising development. All the theory developed in the first part to control a model with TVP can sic et simpliciter be applied to control a model with RE.
Author : John G. Thistle
Publisher :
ISBN 13 :
Total Pages : 82 pages
Book Rating : 4.:/5 (13 download)
Download or read book The Origin and the Resolution of Nonuniqueness in Linear Rational Expectations written by John G. Thistle and published by . This book was released on 2018 with total page 82 pages. Available in PDF, EPUB and Kindle. Book excerpt:
