Conditions For Unique Solutions In Stochastic Macroeconomic Models With Rational Expectations
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| Author | : P. Fisher |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 215 |
| Release | : 2013-04-17 |
| Genre | : Business & Economics |
| ISBN | : 9401580022 |
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 | : L. Broze |
| Publisher | : Elsevier |
| Total Pages | : 249 |
| Release | : 2014-06-28 |
| Genre | : Business & Economics |
| ISBN | : 1483296288 |
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 | : L. Broze |
| Publisher | : Routledge |
| Total Pages | : 144 |
| Release | : 2013-06-17 |
| Genre | : Business & Economics |
| ISBN | : 1136457801 |
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 | : Shu-Heng Chen |
| Publisher | : Oxford University Press |
| Total Pages | : 785 |
| Release | : 2018-01-12 |
| Genre | : Business & Economics |
| ISBN | : 0190877502 |
The Oxford Handbook of Computational Economics and Finance provides a survey of both the foundations of and recent advances in the frontiers of analysis and action. It is both historically and interdisciplinarily rich and also tightly connected to the rise of digital society. It begins with the conventional view of computational economics, including recent algorithmic development in computing rational expectations, volatility, and general equilibrium. It then moves from traditional computing in economics and finance to recent developments in natural computing, including applications of nature-inspired intelligence, genetic programming, swarm intelligence, and fuzzy logic. Also examined are recent developments of network and agent-based computing in economics. How these approaches are applied is examined in chapters on such subjects as trading robots and automated markets. The last part deals with the epistemology of simulation in its trinity form with the integration of simulation, computation, and dynamics. Distinctive is the focus on natural computationalism and the examination of the implications of intelligent machines for the future of computational economics and finance. Not merely individual robots, but whole integrated systems are extending their "immigration" to the world of Homo sapiens, or symbiogenesis.
| Author | : Steven M. Sheffrin |
| Publisher | : Cambridge University Press |
| Total Pages | : 204 |
| Release | : 1996-06-13 |
| Genre | : Business & Economics |
| ISBN | : 9780521479394 |
This book develops the idea of rational expectations and surveys its use in economics today.
| Author | : Roger Guesnerie |
| Publisher | : MIT Press |
| Total Pages | : 350 |
| Release | : 2001-04-13 |
| Genre | : Business & Economics |
| ISBN | : 9780262262798 |
Roger Guesnerie contributes to the critical assessment of the Rational Expectations hypothesis (REH). In this book Roger Guesnerie contributes to the critical assessment of the Rational Expectations hypothesis (REH). He focuses on the multiplicity question that arises in (infinite horizon) Rational Expectation models and considers the implications for a theory of endogenous fluctuations. The REH, which dominates the economic modeling of expectations in most fields of formalized economic theory, is often associated with an optimistic view of the working of the markets—a view that Guesnerie scrutinizes closely. The book is divided into four parts. The first part uses the framework of simple models to characterize the stochastic processes that trigger self-fulfilling prophecies and examines the connections between periodic equilibria (cycles) and stochastic equilibria (sunspots). (A sunspot is a random shock uncorrelated with underlying economic fundamentals.) The second part views sunspot equilibria as overreactions triggered by small variations of intrinsic variables—rather than as fluctuations with no trigger—and looks at the consequences for a monetary theory à la Lucas. The third part develops the basic theory to encompass more complex, multidimensional systems. It focuses in particular on the special class of equilibria generating small fluctuations around a steady state. Broadening the scope, the fourth part looks at the stability of cycles, sunspots in systems with memory, and current research on rational expectations.
| Author | : Robert E. Lucas |
| Publisher | : U of Minnesota Press |
| Total Pages | : 335 |
| Release | : 1988 |
| Genre | : |
| ISBN | : 1452908281 |
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.
| Author | : Charles H. Whiteman |
| Publisher | : U of Minnesota Press |
| Total Pages | : 151 |
| Release | : 1984 |
| Genre | : Business & Economics |
| ISBN | : 1452907935 |
| Author | : Olivier Blanchard |
| Publisher | : MIT Press |
| Total Pages | : 674 |
| Release | : 1989-03-21 |
| Genre | : Business & Economics |
| ISBN | : 9780262022835 |
The main purpose of Lectures on Macroeconomics is to characterize and explain fluctuations in output, unemployment and movement in prices. Lectures on Macroeconomics provides the first comprehensive description and evaluation of macroeconomic theory in many years. While the authors' perspective is broad, they clearly state their assessment of what is important and what is not as they present the essence of macroeconomic theory today.The main purpose of Lectures on Macroeconomics is to characterize and explain fluctuations in output, unemployment and movement in prices. The most important fact of modern economic history is persistent long term growth, but as the book makes clear, this growth is far from steady. The authors analyze and explore these fluctuations. Topics include consumption and investment; the Overlapping Generations Model; money; multiple equilibria, bubbles, and stability; the role of nominal rigidities; competitive equilibrium business cycles, nominal rigidities and economic fluctuations, goods, labor and credit markets; and monetary and fiscal policy issues. Each of chapters 2 through 9 discusses models appropriate to the topic. Chapter 10 then draws on the previous chapters, asks which models are the workhorses of macroeconomics, and sets the models out in convenient form. A concluding chapter analyzes the goals of economic policy, monetary policy, fiscal policy, and dynamic inconsistency. Written as a text for graduate students with some background in macroeconomics, statistics, and econometrics, Lectures on Macroeconomics also presents topics in a self contained way that makes it a suitable reference for professional economists.
| Author | : Marco P. Tucci |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 268 |
| Release | : 2012-12-06 |
| Genre | : Business & Economics |
| ISBN | : 1402028741 |
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.
