Estimation and Learning in Models of Rational Expectations PDF Download
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Author: Mark David Feldman
Publisher:
ISBN:
Category :
Languages : en
Pages : 142
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Book Description
Author: Mark David Feldman
Publisher:
ISBN:
Category :
Languages : en
Pages : 142
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Book Description
Author: Arturo Ormeno
Publisher:
ISBN:
Category :
Languages : en
Pages : 38
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Book Description
Does survey data contain useful information for estimating macroeconomic models? We address this question by using survey data of inflation expectations to estimate the New Keynesian model by Smets and Wouters (2007) and compare its performance under rational expectations and adaptive learning. The survey information serves as an additional moment restriction and helps us to determine the learning agents' forecasting model for inflation. Adaptive learning fares similarly to rational expectations in fitting macro data, but clearly outperforms rational expectations in fitting macro and survey data simultaneously. In other words survey data contains additional information that is not present in the macro data alone.
Author: Arturo Ormeño
Publisher:
ISBN:
Category : Inflation (Finance)
Languages : en
Pages : 31
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Book Description
Do survey data on inflation expectations contain useful information for estimating macroeconomic models? I address this question by using survey data in the New Keynesian model by Smets and Wouters (2007) to estimate and compare its performance when solved under the assumptions of Rational Expectations and learning. This information serves as an additional moment restriction and helps to determine the forecasting model for inflation that agents use under learning. My results reveal that the predictive power of this model is improved when using both survey data and an admissible learning rule for the formation of inflation expectations.
Author: George W. Evans
Publisher: Princeton University Press
ISBN: 1400824265
Category : Business & Economics
Languages : en
Pages : 440
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Book Description
A crucial challenge for economists is figuring out how people interpret the world and form expectations that will likely influence their economic activity. Inflation, asset prices, exchange rates, investment, and consumption are just some of the economic variables that are largely explained by expectations. Here George Evans and Seppo Honkapohja bring new explanatory power to a variety of expectation formation models by focusing on the learning factor. Whereas the rational expectations paradigm offers the prevailing method to determining expectations, it assumes very theoretical knowledge on the part of economic actors. Evans and Honkapohja contribute to a growing body of research positing that households and firms learn by making forecasts using observed data, updating their forecast rules over time in response to errors. This book is the first systematic development of the new statistical learning approach. Depending on the particular economic structure, the economy may converge to a standard rational-expectations or a "rational bubble" solution, or exhibit persistent learning dynamics. The learning approach also provides tools to assess the importance of new models with expectational indeterminacy, in which expectations are an independent cause of macroeconomic fluctuations. Moreover, learning dynamics provide a theory for the evolution of expectations and selection between alternative equilibria, with implications for business cycles, asset price volatility, and policy. This book provides an authoritative treatment of this emerging field, developing the analytical techniques in detail and using them to synthesize and extend existing research.
Author: Markus Zenner
Publisher: Springer Science & Business Media
ISBN: 3642518761
Category : Business & Economics
Languages : en
Pages : 209
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Book Description
1. 1 Rational Expectations and Learning to Become Rational A characteristic feature of dynamic economic models is that, if future states of the economy are uncertain, the expectations of agents mat ter. Producers have to decide today which amount of a good they will produce not knowing what demand will be tomorrow. Consumers have to decide what they spend for consumption today not knowing what prices will prevail tomorrow. Adopting the neo-classical point of view that economic agents are 'rational' in the sense that they behave in their own best interest given their expectations about future states of the ecomomy it is usually assumed that agents are Bayesian deci sion makers. But, as LUCAS points out, there remains an element of indeterminacy: Unfortunately, the general hypothesis that economic agents are Bayesian decision makers has, in many applications, lit tle empirical content: without some way of infering what an agent's subjective view of the future is, this hypothesis is of no help in understanding his behavior. Even psychotic behavior can be (and today, is) understood as "rational", given a sufficiently abnormal view of relevant probabili ties. To practice economics, we need some way (short of psychoanalysis, one hopes) of understanding which decision problem agents are solving. (LucAs (1977, p. 15)) 2 CHAPTER 1. INTRODUCTION 1. 1.
Author: Charles R. Nelson
Publisher:
ISBN:
Category :
Languages : en
Pages : 23
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Book Description
Author: Gregory C. Chow
Publisher:
ISBN:
Category : Economic policy
Languages : en
Pages : 30
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Book Description
Author: Theodoor Evert Nijman
Publisher:
ISBN:
Category :
Languages : en
Pages : 34
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Book Description
Author: Glenn W. Harrison
Publisher:
ISBN: 9780959673876
Category : Rational expectations (Economic theory)
Languages : en
Pages : 12
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Book Description
Author: Deborah A. Redman
Publisher: Edward Elgar Publishing
ISBN:
Category : Business & Economics
Languages : en
Pages : 216
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Book Description
The major purpose of this work is to make staying up to date with rational expectations (RE) easier for economists in government, academia and industry, as well as for students.
