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A Simple Forecasting Accuracy Criterion Under Rational Expectations : Evidence From the World Economic Outlook and Time Series Models

Barrionuevo, José M. - 1992

. The efficiency conditions of an optimization problem are used to show that under rational expectations the standard … statistical conditions are necessary, but not sufficient to ensure efficiency. This criterion is used to examine the accuracy of … models are then estimated and the efficiency of the World Economic Outlook projections relative to a benchmark time series …

Persistent link: https://www.econbiz.de/10014396084

Mr. Taylor and the Central Bank : two inference exercises

Luna, Francesco - 2019

theory to model these inference exercises and to assess their general possibility of success. So, is it possible to infer …

Persistent link: https://www.econbiz.de/10012009325

Shock Versus Gradualism in Models of Rational Expectations : The Case of Trade Liberalization

Auernheimer, Leonardo - 1997

This paper provides a new argument for “shock” versus “gradualism” in the implementation of trade policies. In the simple context of a small open economy with rational expectations, we consider the comparative welfare effects of eliminating an import tariff either immediately as an...

Persistent link: https://www.econbiz.de/10014400753

Persistence in the Variability of Daily Exchange Rates

Tsibouris, George C. - 1991

Rational speculation in foreign exchange trading is often assumed to dampen exchange rate fluctuations by bringing the market back to fundamentals. Nevertheless, information congestion provides incentives for traders to follow positive feedback strategies which result in persistent and volatile...

Persistent link: https://www.econbiz.de/10014398036

The Monetary Approach to the Exchange Rate : Rational Expectations, Long-Run Equilibrium and Forecasting

MacDonald, Ronald - 1992

We re-examine the monetary approach to the exchange rate from a number of perspectives, using monthly data on the deutschemark-dollar exchange rate. Using the Campbell-Shiller technique for testing present value models, we reject the restrictions imposed upon the data by the forward-looking...

Persistent link: https://www.econbiz.de/10014395316

Nominal Interest Rate Pegging Under Alternative Expectations Hypotheses

International Monetary Fund - 1988

Nominal interest rate pegging leads to instability in an IS-LM model with a vertical long-run Phillips curve and backward-looking inflation expectations. However, it does not lead to instability in several large multicountry econometric models, apparently primarily because these models have...

Persistent link: https://www.econbiz.de/10014396137

An Econometric Rational Expectations Macroeconomic Model for Developing Countries with Capital Controls

International Monetary Fund - 1990

A small macroeconomic model based on familiar theoretical considerations is developed and estimated using data from 31 developing countries. Efficient estimation techniques are used to control for country heterogeneity under the assumption of rational expectations. The estimates and the test...

Persistent link: https://www.econbiz.de/10014396265

Anticipated Exchange Rate Reforms

Flood, Robert P. - 1992

Exchange rate reforms in developing countries have often aimed at floating the exchange rate in an attempt to unify the official and parallel markets for foreign exchange. This paper examines the anticipatory dynamics associated with such reforms. The analysis shows that if the future unified...

Persistent link: https://www.econbiz.de/10014398500

Long Memory Processes and Chronic Inflation : Detecting Homogeneous Components in a Linear Rational Expectation Model

Scacciavillani, Fabio - 1994

This paper is an empirical study of the links between monetary variables and inflation based on Cagan’s equation and its rational expectations solution, when the forcing variable is a fractionally integrated process. As demonstrated by Hamilton and Whiteman, the existence of bubbles and other...

Persistent link: https://www.econbiz.de/10014398740

A Robust and Efficient Method for Solving Nonlinear Rational Expectations Models

Juillard, Michel - 1996

The development and use of forward-looking macro models in policymaking institutions has proceeded at a pace much slower than predicted in the early 1980s. An important reason is that researchers have not had access to robust and efficient solution techniques for solving nonlinear...

Persistent link: https://www.econbiz.de/10014395909

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