In light of research questioning the usefulness of economists' models of exchange-rate determination, this paper investigates the rationality of survey measures of expectations for Deutschmark/dollar exchange rates for 1989-97. Using Liu and Maddala's (1992) "restricted cointegration" test, the...

xi, 87 p. : ill. A print copy of this thesis is available through the UO Libraries. Search the library catalog for the location and call number.

The relationship between asset demand and information quality in rational expectations economies is analyzed. First we derive a number of new summary descriptive statistics that measure four basic characteristics of investment style: asset selection, market timing, aggressiveness, and...

One of the most influential tests of the expectations hypothesis is Mankiw and Miron (1986), who found that the spread between the long-term and short-term rates provided predictive power for the short-term rate before the Fed's founding but not after. They suggested that the failure of the...

An estimation of a life cycle cum rational expectations model that allows for uncertain future interest rates. The results show that the model is strongly rejected using post World War II U.S. data.

This paper examines the robustness characteristics of optimal control policies derived under the assumption of rational expectations to alternative models of expectations. We assume that agents have imperfect knowledge about the precise structure of the economy and form expectations using a...

This paper provides a selective review of theoretical research on the consistency of rational expectations equilibrium and its properties in microeconomic models. The general equilibrium framework is emphasized throughout the paper. After defining rational expectations equilibrium for a pure...

A large body of literature has failed to find conclusive evidence that the expectations theory of the term structure holds in U.S. data. This paper asks more narrowly whether the theory holds conditional on an exogenous change in monetary policy. We argue that previous work on the expectation...

This paper extends the sticky-price models of Fuhrer and Moore (1995a,b) to include explicit, optimization-based consumption and investment decisions. The goal is to use the resulting model for monetary policy analysis; consequently, strong emphasis is placed on empirical validation of the...