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Acemoglu, Daron - 2016

We develop a microeconomic model of endogenous growth where clean and dirty technologies compete in production and innovation–in the sense that research can be directed to either clean or dirty technologies. If dirty technologies are more advanced to start with, the potential transition to...

Persistent link: https://www.econbiz.de/10013002704

Liquidity Traps and Expectation Dynamics : Fiscal Stimulus or Fiscal Austerity?

Benhabib, Jess - 2012

We examine global dynamics under infinite-horizon learning in New Keynesian models where the interest-rate rule is subject to the zero lower bound. As in Evans, Guse and Honkapohja (2008), the intended steady state is locally but not globally stable. Unstable deflationary paths emerge after...

Persistent link: https://www.econbiz.de/10013098183

Expectations, Deflation Traps and Macroeconomic Policy

Honkapohja, Seppo - 2009

We examine global economic dynamics under infinite-horizon learning in a New Keynesian model in which the interest-rate rule is subject to the zero lower bound. As in Evans, Guse and Honkapohja, European Economic Review (2008), we find that under normal monetary and fiscal policy the intended...

Persistent link: https://www.econbiz.de/10013153604

Time-frequency Forecast of the Equity Premium

Faria, Gonçalo - 2020

Any time series can be decomposed into cyclical components fluctuating at different frequencies. Accordingly, in this paper we propose a method to forecast the stock market's equity premium which exploits the frequency relationship between the equity premium and several predictor variables. We...

Persistent link: https://www.econbiz.de/10012835434

Frequency-Domain Information for Active Portfolio Management

Faria, Gonçalo - 2020

We assess the benefits of using frequency-domain information for active portfolio management. To do so, we forecast the … asset classes. When used in the context of active portfolio management, the forecasts based on frequency-domain information … information ratio (0.57 vs 0.45), higher CER gains (1.12% vs 0.81%), and lower maximum drawdown (19.1% vs 19.6%) …

Persistent link: https://www.econbiz.de/10012842810

Expectations, Learning and Monetary Policy : An Overview of Recent Research

Evans, George W. - 2008

Expectations about the future are central for determination of current macroeconomic outcomes and the formulation of monetary policy. Recent literature has explored ways for supplementing the benchmark of rational expectations with explicit models of expectations formation that rely on...

Persistent link: https://www.econbiz.de/10012725765

Fiscal Policy and Learning

Mitra, Kaushik - 2017

Using the standard real business cycle model with lump-sum taxes, we analyze the impact of fiscal policy when agents form expectations using adaptive learning rather than rational expectations (RE). The output multipliers for government purchases are significantly higher under learning, and fall...

Persistent link: https://www.econbiz.de/10012941780

Expectations, Stagnation and Fiscal Policy

Evans, George W. - 2016

Stagnation as the new norm and fiscal policy are examined in a New Keynesian model with adaptive learning determining expectations. We impose inflation and consumption lower bounds, which can be relevant when agents are pessimistic. The inflation target is locally stable under learning....

Persistent link: https://www.econbiz.de/10012985175

Does Ricardian Equivalence Hold When Expectations are Not Rational?

Evans, George W. - 2010

This paper shows that the Ricardian Equivalence proposition can continue to hold when expectations are not rational and are instead formed using adaptive learning rules. In temporary equilibrium, with given expectations, Ricardian Equivalence holds under the standard conditions for its validity...

Persistent link: https://www.econbiz.de/10013143807

Forecasting Stock Market Returns by Summing the Frequency-Decomposed Parts

Faria, Gonçalo - 2017

the fact that the selected frequency-decomposed parts carry complementary information that captures di erent frequencies …

Persistent link: https://www.econbiz.de/10012967229