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  1. 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

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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)
  2. Frictionless house-price momentum
    Author: Fève, Patrick; Moura, Alban
    Published: November 2023
    Publisher:  [Toulouse School of Economics], [Toulouse]

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    Language: English
    Media type: Book
    Format: Online
    Series: Working papers / Toulouse School of Economics ; no 1488
    Subjects: house prices; momentum; AR(2) process; rational expectations; news shocks
    Scope: 1 Online-Ressource (circa 34 Seiten), Illustrationen
  3. Spooky boundaries at a distance
    inductive bias, dynamic models, and behavioral macro
    Author: Kahou, Mahdi Ebrahimi; Fernández-Villaverde, Jesús; Gomez Cardona, Sebastian; Perla, Jesse; Rosa, Jan
    Published: August 12, 2024
    Publisher:  Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, Philadelphia, PA

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    Language: English
    Media type: Book
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    Series: PIER working paper ; 24, 019
    Subjects: Machine learning; inductive bias; rational expectations; transitional dynamics; transversality; behavioral macroeconomics
    Scope: 1 Online-Ressource (circa 44 Seiten), Illustrationen
  4. A case where Barro expectations are not rational
    Author: Schlicht, Ekkehart
    Published: 2012
    Publisher:  Univ., Volkswirtschaftl. Fak., München

    This note generalizes Feldstein's (1976) criticism of Barro's(1974) analysis for the case that the interest rate exceeds the growth rate. This is done by considering an economy in steady state where all agents hold "Barro expectations": they believe... more

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    This note generalizes Feldstein's (1976) criticism of Barro's(1974) analysis for the case that the interest rate exceeds the growth rate. This is done by considering an economy in steady state where all agents hold "Barro expectations": they believe that government debt must necessarily be repaid and therefore leave the present value of their income streams unchanged. In this scenario, a change in the mode of taxation affects the present value of disposable income in the private sector. This violates their Barro expectations.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
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    hdl: 10419/104385
    Series: Munich discussion paper ; 2012-4
    Subjects: Ricardianische Äquivalenz; Öffentliche Anleihe; Zins; Rationale Erwartung; Steuerpolitik; Steuerwirkung; Erwartungsbildung; Theorie; Barro-Ricardo equivalence; Ricardian equivalence; fiscal policy; debt; taxation; rational expectations
    Scope: Online-Ressource (9 S., 149 KB)
  5. The Modigliani-Miller theorem in a dynamic economy
    Author: Takekuma, Shin-ichi
    Published: 2010-04
    Publisher:  Graduate School of Economics, Hitotsubashi University, Tokyo

    A dynamic economy with markets of equities and bonds is considered. The rational expectations equilibrium is defined in an asset pricing model and a condition under which the Modigliani-Miller theorem holds is shown. In an aggregate model the... more

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    A dynamic economy with markets of equities and bonds is considered. The rational expectations equilibrium is defined in an asset pricing model and a condition under which the Modigliani-Miller theorem holds is shown. In an aggregate model the existence of a rational expectations equilibrium is proved

     
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    Language: English
    Media type: Book
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    Other identifier:
    hdl: 10086/18416
    Series: Discussion paper series / Graduate School of Economics, Hitotsubashi University ; 2010,03
    Subjects: Kapitalstruktur; Rationale Erwartung; Mathematische Optimierung; Mehrsektoren-Modell; Kapitalstrukturtheorie; Theorie
    Other subjects: Array; Array; Array
    Scope: Online-Ressource (15 S., 210 Kb)
  6. Unexpected consequences of Ricardian expectations
    Author: Schlicht, Ekkehart
    Published: 2012
    Publisher:  Univ., Volkswirtschaftl. Fak., München

    Economists are widely familiar with the Ricardian equivalence thesis. It maintains that, given the time-path of government spending, a change in taxation does not alter the set of feasible life-time consumption plans of the households and affects... more

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    Economists are widely familiar with the Ricardian equivalence thesis. It maintains that, given the time-path of government spending, a change in taxation does not alter the set of feasible life-time consumption plans of the households and affects neither the demand for commodities and services nor the rate of interest, provided the households act rationally. In this note a surprising finding is established. Assuming that the agents in a standard infinite horizon growth model hold the very expectations the thesis proposes ("Ricardian expectations"), it is shown that these expectations are disappointed. This divergence from the Ricardian equivalence thesis is traced to the omission of interest payments on public debt as part of the households' disposable income. The non-equivalence is valid in a wide class of models. Further it is shown that a permanent deficit policy does not imply a violation of the government's budget constraint at any point of time in the future.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/104376
    Series: Munich discussion paper ; 2012-18
    Subjects: Ricardianische Äquivalenz; Erwartungsbildung; Rationale Erwartung; Theorie; Barro-Ricardo equivalence; Ricardian equivalence; fiscal policy; debt; taxation; rational expectations; Ricardian expectations; Barro expectations
    Scope: Online-Ressource (20 S., 168 KB)
  7. Data uncertainty and the role of money as an information variable for monetary policy
    Author: Coenen, Günter; Levin, Andrew T.; Wieland, Volker
    Published: 2001
    Publisher:  Europ. Central Bank, Frankfurt am Main

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  8. Rationalität und Qualität von Wirtschaftsprognosen
    Author: Scheier, Johannes
    Published: 2015
    Publisher:  Niedersächsische Staats- und Universitätsbibliothek Göttingen, Göttingen

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    Contributor: Bizer, Kilian (Akademischer Betreuer); Spiwoks, Markus (Akademischer Betreuer); Dierkes, Stefan (Akademischer Betreuer)
    Language: German
    Media type: Dissertation
    Format: Online
    Other identifier:
    hdl: 11858/00-1735-0000-0022-5FE8-0
    Subjects: Prognose; Wirtschaft; Experimentelle Wirtschaftsforschung; Qualität; Erwartungsbildung; Rationale Erwartung; Prognosefehler; Informationseffizienz; Wirtschaft; Prognose; Prognoseverfahren; Qualitätsmanagement; Konjunkturtest; Sachwert; Bewertung; Rationale Erwartung; Risiko; Spieltheorie; Experimentelle Wirtschaftsforschung
    Other subjects: (stw)Wirtschaftsprognose; (stw)Prognoseverfahren; (stw)Qualitätsmanagement; (stw)Frühindikator; (stw)Bewertung; (stw)Rationale Erwartung; (stw)Risiko; (stw)Spieltheorie; (stw)Experimentelle Ökonomik; volkswirtschaftliche Prognosen; Wirtschaftsprognosen; Konjunkturprognosen; Kapitalmarktprognose; Prognoseevaluation; Erwartungen; rationale Erwartungsbildung; Konsensprognosen; Informationseffizienz; Prognoserevisionen; Gegenwartsorientierte Verlaufsanpassung; Prognosegütemaße; Prognosequalität; Prognoseplanspiel; Unsicherheit; economic forecasting; business cycle forecasts; forecast quality; experimental planning game; information efficiency; consensus forecasts; early indicators; forecast evaluation; rational expectations; forecast rationality; expectations; forecast revisions; forecast measurement; uncertainty; Graue Literatur
    Scope: Online-Ressource
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    Göttingen, Georg-August Universität, Diss., 2015
  9. Data uncertainty and the role of money as an information variable for monetary policy
    Author: Coenen, Günter; Levin, Andrew T.; Wieland, Volker
    Published: 2003
    Publisher:  Univ.-Bibliothek Frankfurt am Main, Frankfurt am Main

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  10. Mr. Taylor and the Central Bank
    two inference exercises
    Author: Luna, Francesco
    Published: 2019
    Publisher:  International Monetary Fund, [Washington, DC]

    Many observers argue that the world has changed after the latest financial crisis. If that is the case, monetary policy and the process informing it will have to be reconsidered and 'learned' anew by all stakeholders. Perhaps, a new Taylor rule will... more

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    Many observers argue that the world has changed after the latest financial crisis. If that is the case, monetary policy and the process informing it will have to be reconsidered and 'learned' anew by all stakeholders. Perhaps, a new Taylor rule will emerge. A 'Taylor rule' is predicated upon two successful inference exercises: one by the researcher who is interested in identifying the Central Bank's behavior and one by the Central Bank, which tries to infer how the economy works and interacts with its monetary policy interventions. Because of certain granularities imposed by institutional arrangements and the need for transparent communication in policy making, this paper proposes an analytical framework based on computability theory to model these inference exercises and to assess their general possibility of success. So, is it possible to infer/learn the central bank's policy rule? The answer is a qualified positive and depends on the 'complexity' of the economy and on the quality of information. As for policy implications, the results show that transparency and understandable 'reaction functions' will go a long way in fostering learnability

     
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  11. Intrinsic expectations persistence
    evidence from professional and household survey expectations
    Author: Fuhrer, Jeffrey C.
    Published: [2018]
    Publisher:  Federal Reserve Bank of Boston, [Boston, MA]

    This paper examines the expectations behavior of individual responses in the Survey of Professional Forecasters, the University of Michigan's Survey Research Center survey of consumers, and the ECB Survey of Professional Forecasters. It finds that... more

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    This paper examines the expectations behavior of individual responses in the Survey of Professional Forecasters, the University of Michigan's Survey Research Center survey of consumers, and the ECB Survey of Professional Forecasters. It finds that the most robust feature of all of these expectations measures is that respondents inefficiently revise their forecasts, significantly underreacting to new information. As a consequence, revisions smooth through arriving information, and expectations forget past information at a rapid rate and appear to anchor to the unconditional mean or other salient anchors. The paper then examines the micro-data evidence bearing on the hypotheses tested by Coibion and Gorodnichenko (2015), who suggest that aggregate surveys may conform to key predictions of the sticky-information model of Mankiw and Reis (2002) and/or the noisy-information model of Maækowiak and Wiederholt (2009). This paper finds considerably less coherence with these models in the micro data. The paper also provides evidence that distinguishes this behavior from learning, suggesting that the inefficient incorporation of information is much more important quantitatively than least-squares learning in these expectations measures. Finally, this empirical regularity may bear important implications for macroeconomic dynamics, as illustrated in the last sections of the paper, as it provides a micro-based foundation for an earlier paper's finding that intrinsic persistence in expectations may be a key source of macroeconomic persistence (Fuhrer 2017). The paper sketches a model in which agents' inefficient updating of expectations induces excess smoothness in expectations, imparting persistence to macro variables that is due strictly to the expectations formation process.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/202925
    Edition: This version: May 2018
    Series: Working papers / Federal Reserve Bank of Boston ; no. 18, 9
    Subjects: intrinsic persistence; rational expectations; survey expectations
    Scope: 1 Online-Ressource (circa 70 Seiten), Illustrationen
  12. Rationalizing rational expectations?
    tests and deviations
    Author: D'Haultfœuille, Xavier; Gaillac, Christophe; Maurel, Arnaud
    Published: November 2018
    Publisher:  IZA, Bonn, Germany

    In this paper, we build a new test of rational expectations based on the marginal distributions of realizations and subjective beliefs. This test is widely applicable, including in the common situation where realizations and beliefs are observed in... more

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    In this paper, we build a new test of rational expectations based on the marginal distributions of realizations and subjective beliefs. This test is widely applicable, including in the common situation where realizations and beliefs are observed in two different datasets that cannot be matched. We show that whether one can rationalize rational expectations is equivalent to the distribution of realizations being a mean-preserving spread of the distribution of beliefs. The null hypothesis can then be rewritten as a system of many moment inequality and equality constraints, for which tests have been recently developed in the literature. Next, we go beyond testing by defining and estimating the minimal deviations from rational expectations that can be rationalized by the data. In the context of structural models, we build on this concept to propose an easy-to-implement way to conduct a sensitivity analysis on the assumed form of expectations. Finally, we apply our framework to test for and quantify deviations from rational expectations about future earnings, and examine the consequences of such departures in the context of a life-cycle model of consumption.

     
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    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/193283
    Series: Discussion paper series / IZA ; no. 11989
    Subjects: Rationale Erwartung; Erwartungsbildung; Statistischer Test; Theorie; Lebenseinkommen; Schätzung; USA; rational expectations; test; data combination; subjective expectations; sensitivity analysis
    Scope: 1 Online-Ressource (circa 64 Seiten), Illustrationen
  13. Predictability concentrates in bad times
    and so does disagreement
    Author: Souza, Thiago de Oliveira
    Published: 2019
    Publisher:  University of Southern Denmark, Odense

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Discussion papers on business and economics ; no. 2019, 8
    Subjects: Predictability; bad times; efficient market hypothesis; disagreement; rational expectations
    Scope: 1 Online-Ressource (circa 27 Seiten)
  14. Aggregation of diverse information with double auction trading among minimally-intelligent algorithmic agents
    Author: Jamal, Karim; Maier, Michael S.; Sunder, Shyam
    Published: 2019
    Publisher:  Cowles Foundation for Research in Economics, Yale University, New Haven, Connecticut

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Cowles Foundation discussion paper ; no. 2182 (June 2019)
    Subjects: Algorithmic traders; rational expectations; Structural rationality; Means-end heuristic; Information aggregation; Zero-intelligence agents
    Scope: 1 Online-Ressource (circa 43 Seiten), Illustrationen
  15. Mr. Taylor and the Central Bank
    two inference exercises
    Author: Luna, Francesco
    Published: 2019
    Publisher:  International Monetary Fund, [Washington, DC]

    Many observers argue that the world has changed after the latest financial crisis. If that is the case, monetary policy and the process informing it will have to be reconsidered and 'learned' anew by all stakeholders. Perhaps, a new Taylor rule will... more

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    Orient-Institut Beirut
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    Staatsbibliothek zu Berlin - Preußischer Kulturbesitz, Haus Potsdamer Straße
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    Many observers argue that the world has changed after the latest financial crisis. If that is the case, monetary policy and the process informing it will have to be reconsidered and 'learned' anew by all stakeholders. Perhaps, a new Taylor rule will emerge. A 'Taylor rule' is predicated upon two successful inference exercises: one by the researcher who is interested in identifying the Central Bank's behavior and one by the Central Bank, which tries to infer how the economy works and interacts with its monetary policy interventions. Because of certain granularities imposed by institutional arrangements and the need for transparent communication in policy making, this paper proposes an analytical framework based on computability theory to model these inference exercises and to assess their general possibility of success. So, is it possible to infer/learn the central bank's policy rule? The answer is a qualified positive and depends on the 'complexity' of the economy and on the quality of information. As for policy implications, the results show that transparency and understandable 'reaction functions' will go a long way in fostering learnability

     
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  16. Towards a general theory of the stock market
    Author: Fender, John
    Published: [2016]
    Publisher:  [Birmingham Business School], [Birmingham]

    Although there are many stock market anomalies which the Efficient Market Hypothesis (EMH) finds difficult to explain, it also has its strengths, and so far no alternative hypothesis has been developed which can explain what the EMH explains but... more

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    Although there are many stock market anomalies which the Efficient Market Hypothesis (EMH) finds difficult to explain, it also has its strengths, and so far no alternative hypothesis has been developed which can explain what the EMH explains but which can also do a better job in explaining the phenomena with which it struggles. It is argued that the way forward is to postulate that the stock market can be in one of three states: a fundamental state, in which share prices are determined as in the EMH, a bubble or bull market state, in which share prices are above their fundamental levels but continue to rise because asset holders expect to sell the shares at even higher prices in the future, and a bear market state, in which shares are held exclusively by 'irrational' agents and rational agents cannot exploit the overvaluation because of short-selling constraints. It is also argued that heterogeneous rational expectations may help explain some features of stock market behaviour.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/202667
    Series: Discussion paper series / Birmingham Business School ; 2016, 03
    Subjects: efficient market hypothesis; rational expectations; bubbles; bear markets; short-selling constraints
    Scope: 1 Online-Ressource (circa 50 Seiten)
  17. 'Time inconsistency'
    the Phillips curve example (an analysis for intermediate macroeconomics)
    Author: Natividad-Carlos, Fidelina Borja
    Published: 2013
    Publisher:  School of Economics, Univ. of the Philippines, Quezon

    This paper provides the algebra and a panel diagram to attempt to examine the so-called inflation- unemployment (or Phillips curve, or aggregate supply) example, the most popular example in the literature when introducing the concept of "time... more

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    This paper provides the algebra and a panel diagram to attempt to examine the so-called inflation- unemployment (or Phillips curve, or aggregate supply) example, the most popular example in the literature when introducing the concept of "time inconsistency" or "dynamic inconsistency". The resulting panel diagram (along with the derivations presented in the appendices) is used to analyze the different possible outcomes, depending on the scenarios - rule or pre-commitment, cheating, and equilibrium - and find out whether there is indeed "time inconsistency" or "dynamic inconsistency" in the said example.

     
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    Language: English
    Media type: Book
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    Other identifier:
    hdl: 10419/93582
    Series: Discussion paper / School of Economics, University of the Philippines ; 2013-07
    Subjects: Philips curve; aggregate supply; time inconsistency; dynamic inconsistency; short-run optimal policy; long-run optimal policy; rational expectations; rules vs discretion
    Scope: Online-Ressource (39 S.), graph. Darst.
  18. A Bayesian model of knightian uncertainty
    Author: Najjar, Nabil I. al-; Weinstein, Jonathan
    Published: 2013
    Publisher:  IHS, Wien

    A long tradition suggests a fundamental distinction between situations of risk, where true objective probabilities are known, and unmeasurable uncertainties where no such probabilities are given. This distinction can be captured in a Bayesian model... more

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    A long tradition suggests a fundamental distinction between situations of risk, where true objective probabilities are known, and unmeasurable uncertainties where no such probabilities are given. This distinction can be captured in a Bayesian model where uncertainty is represented by the agent's subjective belief over the parameter governing future income streams. Whether uncertainty reduces to ordinary risk depends on the agent's ability to smooth consumption. Uncertainty can have a major behavioral and economic impact, including precautionary behavior that may appear overly conservative to an outside observer. We argue that one of the main characteristics of uncertain beliefs is that they are not empirical, in the sense that they cannot be objectively tested to determine whether they are right or wrong. This can confound empirical methods that assume rational expectations.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/97426
    Series: Reihe Ökonomie / Institut für Höhere Studien ; 300
    Subjects: Haushaltseinkommen; Konsumentenverhalten; Entscheidung unter Unsicherheit; Rationale Erwartung; Bayes-Statistik; Theorie; Knightian uncertainty; consumption smoothing; uncertainty premium; rational expectations
    Scope: Online-Ressource (28 S.), graph. Darst.
  19. Towards a general theory of the stock market
    Author: Fender, John
    Published: 2015
    Publisher:  Dep. of Economics, Univ. of Birmingham, Birmingham

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Department of Economics discussion paper / Department of Economics, The University of Birmingham ; 15-15
    Subjects: efficient market hypothesis; rational expectations; bubbles; bear markets; shortselling constraints
    Scope: Online-Ressource (47 S.)
  20. Behavioral origins of epidemiological bifurcations
    Author: Aadland, David; Finnoff, David; Huang, Kevin X. D.
    Published: January 26, 2016
    Publisher:  Vanderbilt University, Department of Economics, Nashville, TN

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    Language: English
    Media type: Book
    Format: Online
    Series: Vanderbilt University Department of Economics working papers ; 16-00004
    Subjects: economic epidemiology; bifurcation; dynamics; disease; indeterminacy; rational expectations
    Scope: 1 Online-Ressource (circa 28 Seiten), Illustrationen
  21. The El Farol problem revisited
    Author: Böhm, Volker
    Published: 2015
    Publisher:  Center for Mathematical Economics, IMW, Bielefeld

    The so-called El Farol problem describes a prototypical situation of interacting agents making binary choices to participate in a non-cooperative environment or to stay by themselves and choosing an outside option. In a much cited paper Arthur (1994)... more

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    The so-called El Farol problem describes a prototypical situation of interacting agents making binary choices to participate in a non-cooperative environment or to stay by themselves and choosing an outside option. In a much cited paper Arthur (1994) argues that persistent on-converging sequences of rates of participation with permanent forecasting errors occur due to the non-existence of a prediction model for agents to forecast the attendance appropriately to induce stable rational expectations solutions. From this he concludes the need for agents to use boundedly rational rules. This note shows that in a large class of such models the failure of agents to find rational prediction rules which stabilize is not due to a non-existence of perfect rules, but rather to the failure of agents to identify the correct class of predictors from which the perfect ones can be chosen. What appears as a need to search for boundedly rational predictors originates from the non existence of stable confirming self-referential orbits induced by predictors selected from the wrong class. Specifically, it is shown that, within a specified class of the model and due to a structural non-convexity (or discontinuity), symmetric Nash equilibria of the associated static game may fail to exist generically depending on the utility level of the outside option. If they exist, they may induce the least desired outcome while, generically, asymmetric equilibria are uniquely determined by a positive maximal rate of attendance. The sequential setting turns the static game into a dynamic economic law of the Cobweb type for which there always exist nontrivial e-perfect predictors implementing e-perfect steady states as stable outcomes. If zero participation is a Nash equilibrium of the game there exists a unique perfect predictor implementing the trivial equilibrium as a stable steady state. In general, Nash equilibria of the one-shot game are among the e-perfect foresight steady states of the dynamic model. If agents randomize over indifferent decisions the induced random Cobweb law together with recursive predictors becomes an iterated function system (IFS). There exist unbiased predictors with associated stable stationary solutions for appropriate randomizations supporting nonzero asymmetric equilibria which are not mixed Nash equilibria of the one-shot game. However, the least desired outcome remains as the unique stable stationary outcome for e = 0 if it is a Nash equilibrium of the static game.

     
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    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/111064
    Series: Working papers / Center for Mathematical Economics ; 536
    Center for Mathematical Economics Working Paper ; No. 536
    Subjects: El Farol; participation games; repeated play; forecasting; rational expectations; Cobweb models
    Scope: Online-Ressource (14 S.)
  22. Randomizing endowments
    an experimental study of rational expectations and reference-dependent preferences
    Author: Götte, Lorenz; Harms, Annette; Sprenger, Charles
    Published: 2014
    Publisher:  IZA, Bonn

    An important advance in the study of reference-dependent preferences is the discipline provided by coherent accounts of reference point formation. Kőszegi and Rabin (2006) provide such discipline by positing a reference point grounded in rational... more

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    An important advance in the study of reference-dependent preferences is the discipline provided by coherent accounts of reference point formation. Kőszegi and Rabin (2006) provide such discipline by positing a reference point grounded in rational expectations. We examine the predictions of Kőszegi and Rabin (2006) in the context of market experiments with probabilistic forced exchange. The experiment tightly tests the predictions of Kőszegi and Rabin (2006), as when the probability of forced exchange increases, individuals should grow more willing to exchange. This mechanism has the theoretical potential to eliminate and even reverse the 'endowment effect' (Knetsch and Sinden, 1984; Knetsch, 1989; Kahneman et al., 1990). Our results uniformly reject these theoretical predictions. In a series of experiments with a total of 930 subjects, sellers' valuations exceed buyers' valuations under all probabilities of forced exchange. In robustness tests where attention is drawn specifically to the forced exchange mechanism, the results are directionally more promising for buyers, but still reject the main thrust of the theoretical predictions. Our findings suggest a potential path forward incorporating failures to completely forecast sensations of gain and loss into models of expectations-based reference dependence.

     
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    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/106574
    Series: Discussion paper series / Forschungsinstitut zur Zukunft der Arbeit ; 8639
    Subjects: reference-dependent preferences; rational expectations; personal equilibrium; endowment effect; expectations-based reference points
    Scope: Online-Ressource (30, 14 S.), graph. Darst.
  23. Unexpected consequences of Ricardian expectations
    Author: Schlicht, Ekkehart
    Published: 2013
    Publisher:  Univ., Volkswirtschaftl. Fak., München

    Economists are widely familiar with the Ricardian equivalence thesis. It maintains that, given the time-path of government spending, a change in taxation does not alter the set of feasible life-time consumption plans of the households and affects... more

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    Universitätsbibliothek Mannheim
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    Economists are widely familiar with the Ricardian equivalence thesis. It maintains that, given the time-path of government spending, a change in taxation does not alter the set of feasible life-time consumption plans of the households and affects neither the demand for commodities and services nor the rate of interest, provided the households act rationally. In this note a surprising finding is established. Assuming that the agents in a standard infinite horizon growth model hold the very expectations the thesis proposes ("Ricardian expectations"), it is shown that these expectations are invalidated. This divergence from the Ricardian equivalence thesis is traced to the omission of interest payments on public debt as part of the households' disposable income. The non-equivalence is valid in a wide class of models.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/104360
    Series: Munich discussion paper ; [2012-18 (revised)]
    Subjects: Barro-Ricardo equivalence; Ricardian equivalence; fiscal policy; debt; taxation; rational expectations; Ricardian expectations; Barro expectations; tax neutrality; Ricardianische Äquivalenz (STW); Erwartungstheorie (STW); Rationale Erwartung (STW); Theorie (STW)
    Scope: Online-Ressource
  24. Modeling the evolution of expectations and uncertainty in general equilibrium
    Author: Bianchi, Francesco; Melosi, Leonardo
    Published: 2013
    Publisher:  Federal Reserve Bank of Chicago, Chicago, Ill.

    We develop methods to solve general equilibrium models in which forward-looking agents are subject to waves of pessimism, optimism, and uncertainty that turn out to critically affect macroeconomic outcomes. Agents in the model are fully rational,... more

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    We develop methods to solve general equilibrium models in which forward-looking agents are subject to waves of pessimism, optimism, and uncertainty that turn out to critically affect macroeconomic outcomes. Agents in the model are fully rational, conduct Bayesian learning, and they know that they do not know. Therefore, agents take into account that their beliefs will evolve according to what they will observe. This framework accommodates both gradual and abrupt changes in beliefs and allows for an analytical characterization of uncertainty. Shocks to beliefs affect economic dynamics and uncertainty. We use a prototypical Real Business Cycle to illustrate the methods.

     
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    Format: Online
    Other identifier:
    hdl: 10419/96645
    Series: Working papers / Federal Reserve Bank of Chicago ; 2013-12
    Subjects: Markov switching; general equilibrium models; uncertainty; Bayesian learning; rational expectations; downside risk; rare disasters
    Scope: Online-Ressource (49, 5 S.), graph. Darst.
  25. A Bayesian model of knightian uncertainty
    Author: Najjar, Nabil I. al-; Weinstein, Jonathan
    Published: 2013
    Publisher:  Inst. für Höhere Studien (IHS), Wien

    A long tradition suggests a fundamental distinction between situations of risk, where true objective probabilities are known, and unmeasurable uncertainties where no such probabilities are given. This distinction can be captured in a Bayesian model... more

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    A long tradition suggests a fundamental distinction between situations of risk, where true objective probabilities are known, and unmeasurable uncertainties where no such probabilities are given. This distinction can be captured in a Bayesian model where uncertainty is represented by the agent's subjective belief over the parameter governing future income streams. Whether uncertainty reduces to ordinary risk depends on the agent's ability to smooth consumption. Uncertainty can have a major behavioral and economic impact, including precautionary behavior that may appear overly conservative to an outside observer. We argue that one of the main characteristics of uncertain beliefs is that they are not empirical, in the sense that they cannot be objectively tested to determine whether they are right or wrong. This can confound empirical methods that assume rational expectations.

     
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    Language: English
    Media type: Book
    Format: Print
    Series: Reihe Ökonomie ; 300
    Subjects: Haushaltseinkommen; Konsumentenverhalten; Entscheidung unter Unsicherheit; Rationale Erwartung; Bayes-Statistik; Theorie; Knightian uncertainty; consumption smoothing; uncertainty premium; rational expectations
    Scope: 28 S., graph. Darst., 30 cm
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    Parallel als Online-Ausg. erschienen