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Behavioral Learning Equilibria in New Keynesian models
Hommes, Cars H.; Mavromatis, Kostas; Özden, Tolga; Zhu, Mei - In: Quantitative economics : QE ; journal of the … 14 (2023) 4, pp. 1401-1445
Keynesian model and develop an estimation methodology for the canonical Smets and Wouters (2007) model. A horse race between … account in the estimation. As a policy application, we show that optimal Taylor rules under AR(1) expectations inherit history …
Persistent link: https://www.econbiz.de/10014496533
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Behavioral Learning Equilibria in the New Keynesian Model
Hommes, Cars H. - 2019
) we provide a general method for Bayesian likelihood estimation of BLE, (3) we estimate the baseline NK model based on U …
Persistent link: https://www.econbiz.de/10012863197
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Behavioral learning equilibria in New Keynesian models
Hommes, Cars H.; Mavromatis, Kostas; Özden, Tolga; Zhu, Mei - 2022
concept in a standard three-equation New Keynesian model and develop an estimation methodology for the canonical Smets and …-term survey data on inflation expectations are considered in the estimation. As a policy application, we show that optimal Taylor …
Persistent link: https://www.econbiz.de/10014304189
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Behavioral learning equilibria in New Keynesian models
Hommes, Cars H.; Mavromatis, Kostas; Özden, Tolga; Zhu, Mei - 2022 - Last updated: September 22, 2022
concept in a standard three-equation New Keynesian model and develop an estimation methodology for the canonical Smets and …-term survey data on inflation expectations are considered in the estimation. As a policy application, we show that optimal Taylor …
Persistent link: https://www.econbiz.de/10013370515
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Some Evolutionary Foundations for Price Level Rigidity
Saint-Paul, Gilles - C.E.P.R. Discussion Papers - 2002
This Paper shows that price rigidity evolves in an economy populated by imperfectly rational agents who experiment with alternative rules of thumb. In the model, firms must set their prices in the face of aggregate shocks. The payoff depends on the level of aggregate demand, as well as on their...
Persistent link: https://www.econbiz.de/10005661497
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On the initialization of adaptive learning in macroeconomic models
Berardi, Michele; Galimberti, Jaqueson K. - 2016
estimation-based. We conduct several simulations comparing the accuracy of the initial estimates provided by these methods and … how they affect the accuracy of other estimated model parameters. We find evidence against their joint estimation with … attenuated by penalizing the variance of estimation errors. Even so, the joint estimation of learning initials with other model …
Persistent link: https://www.econbiz.de/10011573204
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Monetary Policy, Endogenous Inattention, and the Volatility Trade-Off
Branch, William; Carlson, John B.; Evans, George W.; … - 2007
This paper addresses the output-price volatility puzzle by studying the interaction of optimal monetary policy and agents' beliefs. We assume that agents choose their information acquisition rate by minimizing a loss function that depends on expected forecast errors and information costs....
Persistent link: https://www.econbiz.de/10014223070
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Learning and the Size of the Government Spending Multiplier.
QUAGHEBEUR, E. - Faculteit Economie en Bedrijfskunde, Universiteit Gent - 2013
This paper examines the government spending multiplier when economic agents form their expectations based on an adaptive learning scheme. The learning mechanism is such that the agents forecast future values of forward-looking variables using a linear function of an information set that does not...
Persistent link: https://www.econbiz.de/10011083100
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Behavioral Learning Equilibria
Hommes, Cars; Zhu, Mei - 2013
We propose behavioral learning equilibria as a plausible explanation of coordination of individual expectations and aggregate phenomena such as excess volatility in stock prices and high persistence in inflation. Boundedly rational agents use a simple univariate linear forecasting rule and...
Persistent link: https://www.econbiz.de/10010326517
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Information weighting under least squares adaptive learning
Galimberti, Jaqueson K. - 2020
This note evaluates how adaptive learning agents weigh different pieces of information when forming expectations with a recursive least squares algorithm. The analysis is based on a new and more general non-recursive representaion of the learning algorithm, namely, a penalized weighted least...
Persistent link: https://www.econbiz.de/10012624298