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A generalized approach to indeterminacy in linear rational expectations models
Bianchi, Francesco; Nicolò, Giovanni - 2019
We propose a novel approach to deal with the problem of indeterminacy in Linear Rational Expectations models. The … number of explosive roots in presence of indeterminacy. The solution in this expanded state space, if it exists, is always … and any degree of indeterminacy, and it can be implemented even when the boundaries of the determinacy region are unknown …
Persistent link: https://www.econbiz.de/10012181061
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Mechanics of linear quadratic Gaussian rational inattention tracking problems
Fulton, Chad - 2017
This paper presents a general framework for constructing and solving the multivariate static linear quadratic Gaussian (LQG) rational inattention tracking problem. We interpret the nature of the solution and the implied action of the agent, and we construct representations that formalize how the...
Persistent link: https://www.econbiz.de/10011803264
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Solving Linear Rational Expectations Models : A Horse Race
Anderson, Gary - 2006
This paper compares the functionality, accuracy, computational efficiency, and practicalities of alternative approaches to solving linear rational expectations models, including the procedures of (Sims, 1996), (Anderson and Moore, 1983), (Binder and Pesaran, 1994), (King and Watson, 1998),...
Persistent link: https://www.econbiz.de/10014054699
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Effects of Monetary Policy on Household Expectations : The Role of Homeownership
Ahn, Hie Joo; Yang, Choongryul - 2023
We study the role of homeownership in the effectiveness of monetary policy on households' expectations. Empirically, we find that homeowners revise down their near-term inflation expectations and their optimism about future labor market conditions in response to a rise in mortgage rates, while...
Persistent link: https://www.econbiz.de/10014355012
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Inflation Targeting Under Imperfect Knowledge
Orphanides, Athanasios - 2007
that incorporates three key characteristics of inflation targeting: transparency, commitment to maintaining price stability …
Persistent link: https://www.econbiz.de/10012731667
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Solving Asset Pricing Models with Stochastic Volatility
de Groot, Oliver - 2014
This paper provides a closed-form solution for the price-dividend ratio in a standard asset pricing model with stochastic volatility. The solution is useful in allowing comparisons among numerical methods used to approximate the non-trivial closed-form
Persistent link: https://www.econbiz.de/10013046488
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Reliably computing nonlinear dynamic stochastic model solutions : an algorithm with error formulas
Anderson, Gary S. - 2018
This paper provides a new technique for representing discrete time nonlinear dynamic stochastic time invariant maps. Using this new series representation, the paper augments the usual solution strategy with an additional set of constraints thereby enhancing algorithm reliability. The paper also...
Persistent link: https://www.econbiz.de/10012016372
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Solving Asset Pricing Models with Stochastic Volatility
de Groot, Oliver - 2017
This paper provides a closed-form solution for the price-dividend ratio in a standard asset pricing model with stochastic volatility. The solution is useful in allowing comparisons among numerical methods used to approximate the non-trivial closed-form
Persistent link: https://www.econbiz.de/10014121046
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Learning from Experience in the Stock Market
Nakov, Anton - 2012
We study the dynamics of a Lucas-tree model with finitely lived individuals who "learn from experience." Individuals update expectations by Bayesian learning based on observations from their own lifetimes. In this model, the stock price exhibits stochastic fluctuations around the rational...
Persistent link: https://www.econbiz.de/10013096286
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Information Frictions and Housing Market Dynamics
Anenberg, Elliot - 2014
This paper examines the effects of seller uncertainty over their home value on the housing market. Using evidence from a new dataset on home listings and transactions, I first show that sellers do not have full information about current period demand conditions for their homes. I incorporate...
Persistent link: https://www.econbiz.de/10013064855