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Optimal Constrained Interest-rate Rules
Evans, George W.; McGough, Bruce - Department of Economics, University of Oregon - 2005
be led to rules that generate indeterminacy and/or instability under learning. This problem is compounded by uncertainty …
Persistent link: https://www.econbiz.de/10005593754
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Learning as a Rational Foundation for Macroeconomics and Finance
Evans, George W.; Honkapohja, Seppo - 2011
Expectations play a central role in modern macroeconomics. The econometric learning approach, in line with the cognitive consistency principle, models agents as forming expectations by estimating and updating subjective forecasting models in real time. This approach provides a stability test for...
Persistent link: https://www.econbiz.de/10014183715
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Trend inflation, sticky prices, and expectational stability
Kurozumi, Takushi - In: Journal of economic dynamics & control 42 (2014), pp. 175-187
Persistent link: https://www.econbiz.de/10010429910
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Indeterminacy and Forecastability
Fujiwara, Ippei; Hirose, Yasuo - Crawford School of Public Policy, Australian National … - 2012
this phenomenon in the context of equilibrium indeterminacy in dynamic stochastic general equilibrium (DSGE) models. We … first analytically show that a model under indeterminacy exhibits richer dynamics that can improve forecastability. Then …, using a sticky-price DSGE model, we numerically demonstrate that indeterminacy arising from passive monetary policy …
Persistent link: https://www.econbiz.de/10011201596
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Optimal monetary policy when agents are learning
Molnár, Krisztina (contributor);  … - 2006
Most studies of optimal monetary policy under learning rely on optimality conditions derived for the case when agents have rational expectations. In this paper, we derive optimal monetary policy in an economy where the Central Bank knows, and makes active use of, the learning algorithm agents...
Persistent link: https://www.econbiz.de/10003435154
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Optimal monetary policy when agents are learning
Molnár, Krisztina; Santoro, Sergio - 2010
We derive the optimal monetary policy in a sticky price model when private agents follow adaptive learning. We show that this slight departure from rationality has important implications for policy design. The central bank faces a new intertemporal trade-off, not present under rational...
Persistent link: https://www.econbiz.de/10003974493
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Interest rate rules and macroeconomic stability under heterogeneous expectations
Anufriev, Mikhail; Assenza, Tiziana; Hommes, Cars H.; … - 2009
The recent macroeconomic literature stresses the importance of managing heterogeneous expectations in the formulation of monetary policy. We use a stylized macro model of Howitt (1992) to investigate inflation dynamics under alternative interest rate rules when agents have heterogeneous...
Persistent link: https://www.econbiz.de/10011378358
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Learning stability in economies with heterogenous agents
Honkapohja, Seppo; Mitra, Kaushik - 2002
An economy exhibits structural heterogeneity when the forecasts of different agents have different effects on the determination of aggregate variables. Various forms of structural heterogeneity can arise and we study the important case of economies in which agents' behavior depends on forecasts...
Persistent link: https://www.econbiz.de/10011541172
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Interest Rate Rules and Macroeconomic Stability under Heterogeneous Expectations
Anufriev, Mikhail - 2012
The recent macroeconomic literature stresses the importance of managing heterogeneous expectations in the formulation of monetary policy. We use a simple frictionless DSGE model to investigate inflation dynamics under alternative interest rate rules when agents have heterogeneous expectations...
Persistent link: https://www.econbiz.de/10013117071
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Stochastic Gradient Versus Recursive Least Squares Learning
Slobodyan, Sergey - 2008
In this paper, we perform an in - depth investigation of relative merits of two adaptive learning algorithms with constant gain, Recursive Least Squares (RLS) and Stochastic Gradient (SG), using the Phelps model of monetary policy as a testing ground. The behavior of the two learning algorithms...
Persistent link: https://www.econbiz.de/10012724434