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Non-Fundamental Expectations and Economic Fluctuations: Evidence from Professional Forecasts

Choy, Keen Meng; Leong, Kenneth; Tay, Anthony S. - Department of Economics, National University of Singapore - 2003

It is theoretically possible that non-fundamental idiosyncratic shocks to agents’ rational expectations are a source of economic fluctuations. Studies using data on consumer and investor sentiment suggest that this is indeed a significant source of fluctuations. We present the results of a...

Persistent link: https://www.econbiz.de/10005518276

"Sunspots in a Cash-in-Advance Model: A Quantitative Assessment."

Stockman, David R. - Department of Economics, Lerner College of Business and … - 2003

Does consideration of sunspot equilibria in the cash-in-advance model help the model match key features in the US macroeconomic data? One can use the cash-in-advance model to generate predictions of macro time series via an equilibrium of the model. However, when restricted to minimum state...

Persistent link: https://www.econbiz.de/10005487480

Sunspot cycles

Dávila, Julio - In: Economic Theory 22 (2003) 1, pp. 169-192

This paper shows new properties about the equilibria of a stationary OG economy by establishing a connection between its stationary equilibria and those of a finite economy, with and without extrinsic uncertainty. Specifically, it shows the countability and local uniqueness with respect to the...

Persistent link: https://www.econbiz.de/10005370896

Speculative securities

Rahi, Rohit; Marín, José M. - In: Economic Theory 14 (1999) 3, pp. 653-668

A speculative security is an asset whose payoff depends in part on a random shock uncorrelated with economic fundamentals (a sunspot) about which some traders have superior information. In this paper we show that agents may find it desirable to trade such a security in spite of the fact that it...

Persistent link: https://www.econbiz.de/10005371082

Determinacy with Capital Adjustment - Costs and Sector-Specific Externalities

Herrendorf, Berthold; Valentinyi, Akos - Közgazdaság-tudományi Intézet, Közgazdaság- és … - 2000

indeterminate and stable sunspots are possible. We find that capital adjustment costs of any size preclude stable sunspots for every … size are considered, a necessary condition for the existence of stable sunspots is an upward- sloping labor demand curve in … the standard result that when we abstract from capital adjustment costs, stable sunspots occur in the two-sector model for …

Persistent link: https://www.econbiz.de/10005404560

Explaining Speculative Expansions

Xiao, Wei - In: Contributions to Macroeconomics 4 (2004) 1, pp. 1173-1173

In this paper we use a modified neoclassical business cycle model to test two competing explanations of the expansion of the 1990s. The model can have indeterminate, multiple equilibria that give rise to expectation-driven business cycles. We fit into the model series of estimated speculative...

Persistent link: https://www.econbiz.de/10005459102

Risk and Wealth in a Model of Self-fulfilling Currency Crises

Guimaraes, Bernardo; Morris, Stephen - Cowles Foundation for Research in Economics, Yale University - 2003

We analyze the effect of risk aversion, wealth and portfolios on the behavior of investors in a global game model of currency crises with continuous action choices. The model generates a rich set of striking theoretical predictions. For example, risk aversion makes currency crises significantly...

Persistent link: https://www.econbiz.de/10005464058

Monetary Policy and Stable Indeterminacy with Inertia

Evans, George W.; McGough, Bruce - Department of Economics, University of Oregon - 2004

. Indeterminacy remains prevalent, stable sunspots abound, and inertia in IS and AS relations do not significantly impact the policy … region containing stable sunspots. …

Persistent link: https://www.econbiz.de/10005464106

General Equilibrium with NonConvexities, Sunspots and Money

Rocheteau, Guillaume; Rupert, Peter; Shell, Karl; … - Society for Economic Dynamics - SED - 2006

constitutes progress on the classic problem of integrating money and general equilibrium theory. We also use the model to discuss …

Persistent link: https://www.econbiz.de/10004977942

Asset bubbles, economic growth, and a self-fulfilling financial crisis: a dynamic general equilibrium model of infinitely lived heterogeneous agents

Kunieda, Takuma; Shibata, Akihisa - Volkswirtschaftliche Fakultät, … - 2012

We develop a dynamic general equilibrium growth model with infinitely lived heterogeneous agents to describe a self-fulfilling financial crisis accompanied by an asset bubble burst as a rational expectations equilibrium. Because of financial market imperfections, asset bubbles appear under mild...

Persistent link: https://www.econbiz.de/10011108752