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Author : L. Broze
Publisher :
ISBN 13 :
Total Pages : 55 pages
Book Rating : 4.:/5 (715 download)
Download or read book Solutions of Dynamic Linear Rational Expectations Models written by L. Broze and published by . This book was released on 1984 with total page 55 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Bennett T. McCallum
Publisher :
ISBN 13 :
Total Pages : 8 pages
Book Rating : 4.:/5 (246 download)
Download or read book Solutions to Linear Rational Expectations Models written by Bennett T. McCallum and published by . This book was released on 1998 with total page 8 pages. Available in PDF, EPUB and Kindle. Book excerpt: An elementary exposition is presented of a convenient and practical solution procedure for a broad class of linear rational expectations models. The undetermined-coefficient approach utilized keeps the mathematics very simple and permits consideration of alternative solution criteria
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 : Michael K. Salemi
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (535 download)
Download or read book Saddlepath Solutions for Multivariate Linear Rational Expectations Models written by Michael K. Salemi and published by . This book was released on 1990 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
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 : 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 : Michael Binder
Publisher :
ISBN 13 :
Total Pages : 15 pages
Book Rating : 4.:/5 (377 download)
Download or read book Multivariate Linear Rational Expectations Models written by Michael Binder and published by . This book was released on 1996 with total page 15 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : L. Broze
Publisher : Routledge
ISBN 13 : 1136457801
Total Pages : 144 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 144 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 : 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 : George W. Evans
Publisher :
ISBN 13 : 9789514532405
Total Pages : 26 pages
Book Rating : 4.5/5 (324 download)
Download or read book A Complete Characterization of ARMA Solutions to Linear Rational Expectations Models written by George W. Evans and published by . This book was released on 1984 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Seonghoon Cho
Publisher :
ISBN 13 :
Total Pages : 43 pages
Book Rating : 4.:/5 (129 download)
Download or read book The Forward Method as a Solution Refinement in Rational Expectations Models written by Seonghoon Cho and published by . This book was released on 2008 with total page 43 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Author : Charles H. Whiteman
Publisher :
ISBN 13 : 9780608007977
Total Pages : 149 pages
Book Rating : 4.0/5 (79 download)
Download or read book Linear Rational Expectations Models written by Charles H. Whiteman and published by . This book was released on 1983-01-01 with total page 149 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Solving Linear Rational Expectations Models with Lagged Expectations Quickly and Easily written by and published by . This book was released on 2007 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: A solution method is derived in this paper for solving a system of linear rational-expectations equation with lagged expectations (e.g., models incorporating sticky information) using the method of undetermined coefficients for the infinite MA representation. The method applies a combination of a Generalized Schur Decomposition familiar elsewhere in the literature and a simple system of linear equations when lagged expectations are present to the infinite MA representation. Execution is faster, applicability more general, and use more straight-forward than with existing algorithms. Current methods of truncating lagged expectations are shown to not generally be innocuous and the use of such methods are rendered obsolete by the tremendous gains in computational efficiency of the method here which allows for a solution to floating-point accuracy in a fraction of the time required by standard methods. The associated computational application of the method provides impulse responses to anticipated and unanticipated innovations, simulations, and frequency-domain and simulated moments. -- Lagged expectations ; linear rational expectations models; block tridiagonal ; Generalized Schur Form ; QZ decomposition ; LAPACK
Author : Seonghoon Cho
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (89 download)
Download or read book Refining Linear Rational Expectations Models and Equilibria written by Seonghoon Cho and published by . This book was released on 2012 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper proposes forward convergence as a model refinement scheme for linear rational expectations (LRE) models and an associated no-bubble condition as a solution selection criterion. We relate these two concepts to determinacy and characterize the complete set of economically relevant rational expectations solutions to the LRE models under determinacy and indeterminacy. Our results show (1) why a determinate solution is economically meaningful in most, but not all, cases, and (2) that those models that are not forward-convergent have no economically relevant solutions.
Author : Lars Peter Hansen
Publisher : CRC Press
ISBN 13 : 1000308960
Total Pages : 294 pages
Book Rating : 4.0/5 (3 download)
Download or read book Rational Expectations Econometrics written by Lars Peter Hansen and published by CRC Press. This book was released on 2019-09-05 with total page 294 pages. Available in PDF, EPUB and Kindle. Book excerpt: At the core of the rational expectations revolution is the insight that economic policy does not operate independently of economic agents' knowledge of that policy and their expectations of the effects of that policy. This means that there are very complicated feedback relationships existing between policy and the behaviour of economic agents, and these relationships pose very difficult problems in econometrics when one tries to exploit the rational expectations insight in formal economic modelling. This volume consists of work by two rational expectations pioneers dealing with the "nuts and bolts" problems of modelling the complications introduced by rational expectations. Each paper deals with aspects of the problem of making inferences about parameters of a dynamic economic model on the basis of time series observations. Each exploits restrictions on an econometric model imposed by the hypothesis that agents within the model have rational expectations.
Author : Olivier J. Blanchard
Publisher :
ISBN 13 :
Total Pages : 38 pages
Book Rating : 4.0/5 ( download)
Download or read book Methods of Solution and Simulation for Dynamic Rational Expectations Models written by Olivier J. Blanchard and published by . This book was released on 1983 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 : Michael Mussa
Publisher :
ISBN 13 :
Total Pages : 62 pages
Book Rating : 4.0/5 ( download)
Download or read book Rational Expectations Models with a Continuum of Convergent Solutions written by Michael Mussa and published by . This book was released on 1984 with total page 62 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines five examples of rational expectations models with a continuum of convergent solutions and demonstrates serious difficulties in the economic interpretation of these solutions. The five examples are (1) a model of optimal capital accumulation with a negative rate of time preference, (2) Taylor's (1977) linear rational expectations model of macroeconomic equilibrium; (3) Calvo's (1984) model of contract setting and price dynamics; (4) Obstfeld's (1984) equilibrium model of monetary dynamics with individual optimizing agents; and (5) Calvo's (1978) life-cycle model of savings and asset valuation. In every case, when these models yield a continuum of convergent infinite horizon solutions, these solutions fail to exhibit economically appropriate, forward looking dependence of the endogenous variables on the paths of the exogenous forcing variab1es--a difficulty that does not arise under the circumstances where these models yield unique convergent infinite horizon solutions. Further, the three models that have natural finite horizon versions, either lack finite horizon solutions or have solutions that do not converge to any of the infinite horizon solutions. Again, this difficulty arises only under the circumstances where these models have a continuum of infinite horizon solutions.
