Expectations Forecasting And Control A Provisional Textbook Of Macroeconomics Monetary Matters Keynesian And Other Models
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Expectations Forecasting And Control A Provisional Textbook Of Macroeconomics Monetary Matters Keynesian And Other Models
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Author : William Johnson Frazer
language : en
Publisher:
Release Date : 1980
Expectations Forecasting And Control A Provisional Textbook Of Macroeconomics Monetary Matters Keynesian And Other Models written by William Johnson Frazer and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1980 with Macroeconomics categories.
Expectations Forecasting And Control A Provisional Textbook Of Macroeconomics Monetary Matters Keynesian And Other Models
DOWNLOAD
Author : William Johnson Frazer
language : en
Publisher:
Release Date : 1980
Expectations Forecasting And Control A Provisional Textbook Of Macroeconomics Monetary Matters Keynesian And Other Models written by William Johnson Frazer and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1980 with Macroeconomics categories.
Expectations Forecasting And Control Prices Markets And Turning Points
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Author : William Johnson Frazer
language : en
Publisher:
Release Date : 1980
Expectations Forecasting And Control Prices Markets And Turning Points written by William Johnson Frazer and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1980 with Macroeconomics categories.
Individual Forecasting And Aggregate Outcomes
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Author : Roman Frydman
language : en
Publisher: Cambridge University Press
Release Date : 1986-10-02
Individual Forecasting And Aggregate Outcomes written by Roman Frydman and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 1986-10-02 with Business & Economics categories.
The papers in this volume provide a complex view of market processes.
Books In Print Supplement
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Author :
language : en
Publisher:
Release Date : 1988
Books In Print Supplement written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1988 with American literature categories.
Essays On Expectations In Macroeconomics
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Author : Ina Hajdini
language : en
Publisher:
Release Date : 2021
Essays On Expectations In Macroeconomics written by Ina Hajdini and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021 with Economics categories.
My dissertation studies and quantifies the implications of various expectations formation processes for what concerns macroeconomic fluctuations and monetary policy transmission. The first chapter (joint work with Marco Airaudo) studies the existence of Stochastic Consistent Expectations Equilibria (SCEE) in linear Markov regime switching models. A SCEE exists when the model-implied mean and first order autocorrelation coincide with those predicted by the agents via misspecified forecasting rules. For a simple regime-switching monetary policy model, the parametric space where at least one SCEE exists is rather wide, and may extend well beyond the rational expectations equilibrium determinacy frontier. Misspecified expectations combined with regime-switching yield a strong endogenous amplification mechanism that help generate the near unit root dynamics for inflation observed in the U.S. before the Great Moderation. The second chapter considers a New Keynesian model in which agents form expectations based on a combination of misspecified forecasts and myopia. The proposed expectations formation process is tested against Rational Expectations (RE), as well other assumptions about expectations, with inflation forecasting data from the U.S. Survey of Professional Forecasters. The paper then derives the general equilibrium solution consistent with the proposed expectations formation process and estimates the model with likelihood-based Bayesian methods. The paper yields three novel results: (i) Datastrongly prefer the combination of autoregressive misspecified forecasting rules and myopia over other alternatives, including RE; (ii) The best fitting expectations formation process for both households and firms is characterized by high degrees of myopia and simple AR(1) forecasting rules; (iii) Despite the absence of real rigidities typically found necessary for New Keynesian models with RE, the estimated model with autoregressive forecasts and myopia generates substantial internal persistence and amplification to exogenous shocks. The third chapter proves that in Full-Information RE models with exogenous Markov regime shifts, ex-post regime-dependent forecasting errors can be described by available information at the time of forecast and ex-ante forecasting revisions, separately. In economic environments with structural changes, the FIRE hypothesis gives rise to waves of over-and under-response of forecasters to current events as well as new aggregate information at the time of forecast. Using inflation and output growth forecasting data from the Survey of Professional Forecasters, the paper presents new evidence of such waves, consistent with implications of Full-Information RE in models with regime shifts. Finally, the framework and insights are generalized to any dynamic stochastic general equilibrium model with exogenous Markov shifts, whose RE solution can be written as a Markov Switching VAR process.
Paperbound Books In Print
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Author :
language : en
Publisher:
Release Date : 1984
Paperbound Books In Print written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1984 with Bibliography categories.
Rational Expectations In Macroeconomic Models
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Author : P. Fisher
language : en
Publisher: Springer
Release Date : 2012-12-22
Rational Expectations In Macroeconomic Models written by P. Fisher and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-12-22 with Business & Economics categories.
It is commonly believed that macroeconomic models are not useful for policy analysis because they do not take proper account of agents' expectations. Over the last decade, mainstream macroeconomic models in the UK and elsewhere have taken on board the `Rational Expectations Revolution' by explicitly incorporating expectations of the future. In principle, one can perform the same technical exercises on a forward expectations model as on a conventional model -- and more! Rational Expectations in Macroeconomic Models deals with the numerical methods necessary to carry out policy analysis and forecasting with these models. These methods are often passed on by word of mouth or confined to obscure journals. Rational Expectations in Macroeconomic Models brings them together with applications which are interesting in their own right. There is no comparable textbook in the literature. The specific subjects include: (i) solving for model consistent expectations; (ii) the choice of terminal condition and time horizon; (iii) experimental design: i.e., the effect of temporary vs permanent, anticipated vs. unanticipated shocks; deterministic vs. stochastic, dynamic vs. static simulation; (iv) the role of exchange rate; (v) optimal control and inflation-output tradeoffs. The models used are those of the Liverpool Research Group in Macroeconomics, the London Business School and the National Institute of Economic and Social Research.
Journal Of Economic Literature
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Author :
language : en
Publisher:
Release Date : 1981
Journal Of Economic Literature written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1981 with Economics categories.
Southern Economic Journal
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Author :
language : en
Publisher:
Release Date : 1980
Southern Economic Journal written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1980 with Economics categories.
Contains section : Book reviews.