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Displaying results 1 to 25 of 54.

  1. Has fiscal rule changed the fiscal marksmanship of union government?
    anatomy of budgetary forecast errors in India
    Author: Chakraborty, Lekha; Sinha, Darshy
    Published: June 25, 2018
    Publisher:  National Institute of Public Finance and Policy, New Delhi

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    Series: Working paper / National Institute of Public Finance and Policy ; no. 234
    Subjects: fiscal marksmanship; budget forecast errors; fiscal rules; rational expectations
    Scope: 1 Online-Ressource (circa 21 Seiten)
  2. Spatial and seasonal equilibrium harvesting in quota-managed multispecies fisheries
    Author: Singh, Rajesh Kumar; Weninger, Quinn R.
    Published: 8-30-2017
    Publisher:  Iowa State University, Department of Economics, Ames, Iowa

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    Series: Working paper / Iowa State University, Department of Economics ; number 17033
    Subjects: rational expectations; multiple-species; individual transferable quotas
    Scope: 1 Online-Ressource (circa 35 Seiten), Illustrationen
  3. Is less really more?
    asymmetries in peer effects for binary outcomes
    Author: Lambotte, Mathieu
    Published: [2024]
    Publisher:  [Centre de recherche en économie et management], [Rennes]

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    Series: Working paper / Centre de recherche en économie et management, UMR 6211 ; WP 2024, 05 (June 2024)
    Subjects: peer effects; asymmetry; social norm; binary outcome; rational expectations
    Scope: 1 Online-Ressource (circa 45 Seiten), Illustrationen
  4. Price and quantity competition in a hotelling linear market model with network connectivity
    Author: Toshimitsu, Tsuyoshi
    Published: December 2024
    Publisher:  School of Economics, Kwansei Gakuin University, Nishinomiya, Japan

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    Series: Discussion paper series / [School of Economics, Kwansei Gakuin University] ; no. 283
    Subjects: Hotelling linear market model; Bertrand competition; Cournot competition; network connectivity; fulfilled expectations; rational expectations
    Scope: 1 Online-Ressource (circa 29 Seiten), Illustrationen
  5. Spooky boundaries at a distance
    inductive bias, dynamic models, and behavioral macro
    Author: Kahou, Mahdi Ebrahimi; Fernández-Villaverde, Jesús; Gómez-Cardona, Sebastián; Perla, Jesse; Rosa, Jan
    Published: August 2024
    Publisher:  CESifo, Munich, Germany

    In the long run, we are all dead. Nonetheless, when studying the short-run dynamics of economic models, it is crucial to consider boundary conditions that govern long-run, forward-looking behavior, such as transversality conditions. We demonstrate... more

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    In the long run, we are all dead. Nonetheless, when studying the short-run dynamics of economic models, it is crucial to consider boundary conditions that govern long-run, forward-looking behavior, such as transversality conditions. We demonstrate that machine learning (ML) can automatically satisfy these conditions due to its inherent inductive bias toward finding flat solutions to functional equations. This characteristic enables ML algorithms to solve for transition dynamics, ensuring that long-run boundary conditions are approximately met. ML can even select the correct equilibria in cases of steady-state multiplicity. Additionally, the inductive bias provides a foundation for modeling forward-looking behavioural agents with self-consistent expectations.

     
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    Series: CESifo working papers ; 11292 (2024)
    Subjects: machine learning; inductive bias; rational expectations; transitional dynamics; transversality; behavioural macroeconomics
    Scope: 1 Online-Ressource (circa 45 Seiten), Illustrationen
  6. Robust monetary policy with imperfect knowledge
    Published: 2007
    Publisher:  European Central Bank, Frankfurt am Main

    We examine the performance and robustness properties of monetary policy rules in an estimated macroeconomic model in which the economy undergoes structural change and where private agents and the central bank possess imperfect knowledge about the... more

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    We examine the performance and robustness properties of monetary policy rules in an estimated macroeconomic model in which the economy undergoes structural change and where private agents and the central bank possess imperfect knowledge about the true structure of the economy. Policymakers follow an interest rate rule aiming to maintain price stability and to minimize fluctuations of unemployment around its natural rate but are uncertain about the economy's natural rates of interest and unemployment and how private agents form expectations. In particular, we consider two models of expectations formation: rational expectations and learning. We show that in this environment the ability to stabilize the real side of the economy is significantly reduced relative to an economy under rational expectations with perfect knowledge. Furthermore, policies that would be optimal under perfect knowledge can perform very poorly if knowledge is imperfect. Efficient policies that take account of private learning and misperceptions of natural rates call for greater policy inertia, a more aggressive response to inflation, and a smaller response to the perceived unemployment gap than would be optimal if everyone had perfect knowledge of the economy. We show that such policies are quite robust to potential misspecification of private sector learning and the magnitude of variation in natural rates

     
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    Series: Working paper series / European Central Bank ; 764
    Subjects: Geldpolitik; Regelbindung versus Diskretion; Natürliche Arbeitslosenquote; Rationale Erwartung; Lernprozess; USA
    Other subjects: Array
    Scope: Online-Ressource, 56 S. = 747 KB, Text
  7. Natural instability of equilibrium prices
    Author: Levando, Dmitry V.; Sakharov, Maxim
    Published: [2018]
    Publisher:  Department of Economics, Ca’ Foscari University of Venice, Venice Italy

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    Series: Working paper / Ca' Foscari University of Venice, Department of Economics ; 2018, no. 01
    Subjects: Strategic market games; ill-posed problems; common knowledge; rational expectations; efficient market; price fluctuations
    Scope: 1 Online-Ressource (circa 39 Seiten), Illustrationen
  8. What did it mean for Lucas to set up "useful" analogue systems?
    Author: Galbács, Peter
    Published: April 24, 2020
    Publisher:  Center for the History of Political Economy at Duke University, [Durham, NC]

    This paper provides a look into what Lucas meant by the term 'analogue systems' and how he conceived making them useful. It is argued that any model can be regarded as an analogue system provided it has remarkable predictive success. The term is thus... more

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    This paper provides a look into what Lucas meant by the term 'analogue systems' and how he conceived making them useful. It is argued that any model can be regarded as an analogue system provided it has remarkable predictive success. The term is thus neutral in terms of usefulness. To be useful, Lucas supposed models to meet further requirements. These prerequisites are introduced in two steps in the paper. First, some properties of 'useless' Keynesian macroeconometric models come to the fore as contrasting cases. Second, it is argued that Lucas suggested two assumptions as the keys to usefulness. One is money as a causal instrument, and the other is the choice-theoretic framework to describe the causal mechanisms underlying large-scale fluctuations. It is also argued that Lucas advocated these presumptions for he conceived them to be true. Extensive quotations from Lucas's unpublished materials underpin the claims.

     
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    Series: CHOPE working paper ; no. 2020, 06 (April 2020)
    Center for the History of Political Economy at Duke University Working Paper Series, 2020
    Subjects: Robert E. Lucas; microfoundations; business cycle theory; rational expectations; island models
    Scope: 1 Online-Ressource (circa 30 Seiten)
  9. An economy of neural networks
    learning from heterogeneous experiences
    Author: Kuriksha, Artem
    Published: November 19, 2021
    Publisher:  Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, Philadelphia, PA

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    Series: PIER working paper ; 21, 027
    Subjects: heterogeneous experiences; rational expectations; bounded rationality; policy learning; artificial intelligence
    Scope: 1 Online-Ressource (circa 49 Seiten), Illustrationen
  10. Indeterminacy and imperfect information
    Author: Lubik, Thomas A.; Matthes, Christian; Mertens, Elmar
    Published: 2019
    Publisher:  The Federal Reserve Bank of Richmond, Richmond

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    Series: Working paper series / The Federal Reserve Bank of Richmond ; WP 19, 17
    Subjects: Limited information; rational expectations; Kalman filter; belief shocks
    Scope: 1 Online-Ressource (circa 62 Seiten), Illustrationen
  11. Unemployment dynamics and endogenous unemployment insurance extensions
    Author: Rujiwattanapong, W. Similan
    Published: [2019]
    Publisher:  CFM, Centre for Macroeconomics, London

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    Series: CFM discussion paper series ; CFM-DP 2019, 09 (May 2019)
    Subjects: Business cycles; long-term unemployment; unemployment insurance; unemployment duration; rational expectations
    Scope: 1 Online-Ressource (circa 57 Seiten), Illustrationen
  12. Indeterminacy and imperfect information
    Author: Lubik, Thomas A.; Matthes, Christian; Mertens, Elmar
    Published: [2020]
    Publisher:  Deutsche Bundesbank, Frankfurt am Main

    We study equilibrium determination in an environment where two kinds of agents have different information sets: The fully informed agents know the structure of the model and observe histories of all exogenous and endogenous variables. The less... more

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    We study equilibrium determination in an environment where two kinds of agents have different information sets: The fully informed agents know the structure of the model and observe histories of all exogenous and endogenous variables. The less informed agents observe only a strict subset of the full information set. All types of agents form expectations rationally, but agents with limited information need to solve a dynamic signal extraction problem to gather information about the variables they do not observe. In this environment, we identify a new channel that leads to equilibrium indeterminacy: Optimal information processing of the less informed agent introduces stable dynamics into the equation system that lead to self-fulling expectations. For parameter values that imply a unique equilibrium under full information, the limited information rational expectations equilibrium is indeterminate. We illustrate our framework with a monetary policy problem where an imperfectly informed central bank follows an interest rate rule.

     
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    ISBN: 9783957296610
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    hdl: 10419/213861
    Series: Discussion paper / Deutsche Bundesbank ; no 2020, 01
    Subjects: Limited information; rational expectations; signal extraction; belief shocks
    Scope: 1 Online-Ressource (circa 64 Seiten), Illustrationen
  13. Examining income expectations in the college and early post-college periods
    new distributional tests of rational expectations
    Author: Crossley, Thomas F.; Gong, Yifan; Stinebrickner, Todd R.; Stinebrickner, Ralph
    Published: January 2021
    Publisher:  CESifo, Center for Economic Studies & Ifo Institute, Munich, Germany

    Unique longitudinal probabilistic expectations data from the Berea Panel Study, which cover both college and early post-college periods, are used to examine young adults’ beliefs about their future incomes. We introduce a new measure of the ex post... more

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    Unique longitudinal probabilistic expectations data from the Berea Panel Study, which cover both college and early post-college periods, are used to examine young adults’ beliefs about their future incomes. We introduce a new measure of the ex post accuracy of beliefs, and two new approaches to testing whether, ex ante, agents exhibit Rational Expectations. We show that taking into account the additional information about higher moments of individual belief distributions contained in probabilistic expectations data is important for detecting types of violations of Rational Expectations that are not detectable by existing mean-based tests. Beliefs about future income are found to become more accurate as students progress through school and then enter the post-college period. Tests of Rational Expectations almost always reject for the in-school period, but the evidence against Rational Expectations is much weaker in the post-college period.

     
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    hdl: 10419/232431
    Series: CESifo working paper ; no. 8834 (2021)
    Subjects: subjective expectations; rational expectations; test; income uncertainty
    Scope: 1 Online-Ressource (circa 74 Seiten), Illustrationen
  14. Monetary policy and sentiment-driven fluctuations
    Author: Chan, Jenny
    Published: July 3, 2020
    Publisher:  CFM, Centre for Macroeconomics, London

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    Series: CFM discussion paper series ; CFM-DP 2020, 20
    Subjects: New-Keynesian; business cycles; sunspots; animal spirits; dispersed information; rational expectations; optimal monetary policy; Taylor principle; indeterminacy
    Scope: 1 Online-Ressource (circa 101 Seiten), Illustrationen
  15. The unbearable lightness of equilibria in a low interest rate environment
    Author: Ascari, Guido; Mavroeidis, Sophocles
    Published: [2021]
    Publisher:  De Nederlandsche Bank NV, Amsterdam, The Netherlands

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    Series: Working paper / De Nederlandsche Bank NV ; no. 734 (December 2021)
    Subjects: incompleteness; incoherency; rational expectations; zero lower bound; DSGE
    Scope: 1 Online-Ressource (circa 70 Seiten), Illustrationen
  16. News versus surprise in structural forecasting models: central bankers’ practical perspective
    Author: Musil, Karel; Tvrz, Stanislav; Vlček, Jan
    Published: December 2021
    Publisher:  Czech National Bank, Economic Research Division, Praha

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    Series: Research and policy notes / Czech National Bank ; 2021,2
    Subjects: Anticipated shocks; conditional forecast; DSGE models; rational expectations
    Scope: 1 Online-Ressource (circa 28 Seiten), Illustrationen
  17. Equilibrium in incomplete markets with differential information
    a basic model of generic existence
    Author: Boisdeffre, Lionel de
    Published: [2021]
    Publisher:  Centre d'économie de la Sorbonne, Paris

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    Series: Documents de travail du Centre d'économie de la Sorbonne ; 2021, 08
    Subjects: sequential equilibrium; temporary equilibrium; perfect foresight; existence; rational expectations; financial markets; asymmetric information; arbitrage
    Scope: 1 Online-Ressource (circa 36 Seiten)
  18. Dropping rational expectations
    Author: Boisdeffre, Lionel de
    Published: [2021]
    Publisher:  Centre d'économie de la Sorbonne, Paris

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    Series: Documents de travail du Centre d'économie de la Sorbonne ; 2021, 09
    Subjects: sequential equilibrium; temporary equilibrium; perfect foresight; existence; rational expectations; financial markets; asymmetric information; arbitrage
    Scope: 1 Online-Ressource (circa 24 Seiten)
  19. Dropping the Cass trick and extending Cass' theorem to asymmetric information and restricted participation
    Author: Boisdeffre, Lionel de
    Published: [2021]
    Publisher:  Centre d'économie de la Sorbonne, Paris

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    Series: Documents de travail du Centre d'économie de la Sorbonne ; 2021, 10
    Subjects: sequential equilibrium; perfect foresight; existence of equilibrium; rational expectations; incomplete markets; asymmetric information; arbitrage
    Scope: 1 Online-Ressource (circa 22 Seiten)
  20. Strategic Foundations of Rational Expectations
    Author: Barelli, Paulo; Govindan, Srihari; Wilson, Robert
    Published: 2022
    Publisher:  SSRN, [S.l.]

    We study an economy with traders whose payoffs are quasilinear and their private signals are informative about an unobserved state parameter. The limit economy has infinitely many traders partitioned into a finite set of symmetry classes called... more

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    We study an economy with traders whose payoffs are quasilinear and their private signals are informative about an unobserved state parameter. The limit economy has infinitely many traders partitioned into a finite set of symmetry classes called types. It has a unique rational expectations Walrasian equilibrium (REE) whose price reveals the state. Total monotonicity, a property that limits heterogeneity across types, determines whether an efficient social choice function (SCF) is attainable using mechanisms in a class that includes auctions. An average crossing property on the primitives is a sufficient condition for total monotonicity. The REE is an efficient SCF so it is attainable by an auction if and only if it satisfies total monotonicity. REE with total monotonicityis not only attainable, but also implementable: it is approximated by the equilibrium outcomes of auctions with finitely many traders of each type and fine grids of the state, signals and bids

     
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    Series: Stanford University Graduate School of Business Research Paper ; No. 4217113
    Subjects: auctions; double auctions; equilibria; rational expectations; information aggregation
    Scope: 1 Online-Ressource (43 p)
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    Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments August 23, 2022 erstellt
  21. A new test for market efficiency and uncovered interest parity
    Author: Baillie, Richard; Diebold, Francis X.; Kapetanios, George; Kim, Kun Ho
    Published: November 3, 2022
    Publisher:  Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, Philadelphia, PA

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    Edition: This draft: November 3, 2022
    Series: PIER working paper ; 22, 029
    Subjects: Dynamic regressions; forward premium anomaly; rational expectations; efficient markets; robust standard errors
    Scope: 1 Online-Ressource (circa 27 Seiten), Illustrationen
  22. Asymmetric Information, Disagreement, and the Valuation of Debt and Equity
    Author: Banerjee, Snehal; Breon-Drish, Bradyn M.; Smith, Kevin
    Published: 2022
    Publisher:  SSRN, [S.l.]

    We study the prices of a firm's debt and equity in a market where investors have private information and may exhibit differences of opinion. We show how debt and equity valuations, and the impact of public information and distress risk on these... more

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    We study the prices of a firm's debt and equity in a market where investors have private information and may exhibit differences of opinion. We show how debt and equity valuations, and the impact of public information and distress risk on these valuations, depend upon disagreement and the intensity of liquidity trading. Moreover, debt and equity prices exhibit drift and reversals in response to news, the strength of which depend upon the firm's leverage. Finally, the firm's capital structure can influence its valuation, and the optimal capital structure depends on the relative amount of liquidity trade in debt versus equity

     
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    Series: Stanford University Graduate School of Business Research Paper ; No. 4278165
    Subjects: capital structure; rational expectations; difference of opinions; disagreement; liquidity trading; information quality
    Other subjects: Array
    Scope: 1 Online-Ressource (54 p)
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    Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments November 15, 2022 erstellt
  23. Rationality and biases
    insights from disaggregated firm-level inflation expectations data
    Author: Reid, Monique; Siklos, Pierre L.
    Published: 22 August 2023
    Publisher:  Economic Research and Statistics Department, South African Reserve Bank, Pretoria

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    Series: South African Reserve Bank working paper series ; WP, 23, 07
    Subjects: Inflation expectations; rational expectations; survey; disaggregated data; firms
    Scope: 1 Online-Ressource (circa 50 Seiten), Illustrationen
  24. Frictionless house-price momentum
    Author: Fève, Patrick; Moura, Alban
    Published: November 2023
    Publisher:  Banque centrale du Luxembourg, Luxembourg

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Working paper / Banque centrale du Luxembourg ; no 177
    Subjects: house prices; momentum; AR(2) process; rational expectations; news shocks
    Scope: 1 Online-Ressource (circa 35 Seiten), Illustrationen
  25. A short history in defence of adaptive learning
    Author: Eusepi, Stefano; Preston, Bruce
    Published: 2023
    Publisher:  Australian National University, Crawford School of Public Policy, Canberra

    Access:
    Verlag (kostenfrei)
    Verlag (kostenfrei)
    Verlag (kostenfrei)

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VSP 1716
    Inter-library loan:
    No inter-library loan
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: CAMA working paper series ; 2023, 52 (October 2023)
    Subjects: adaptive expectations; rational expectations; adaptive learning; inflation expectations
    Scope: 1 Online-Ressource (circa 39 Seiten)