Reduced forms of rational expectations models
A comprehensive exposition of rational expectations models is provided here, working up from simple univariate models to more sophisticated multivariate and non-linear models.
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| Otros Autores: | , |
| Formato: | Libro electrónico |
| Idioma: | Inglés |
| Publicado: |
Abingdon [England] :
Routledge
2001.
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| Colección: | Harwood fundamentals of pure and applied economics
Fundamentals of pure and applied economics Macroeconomics ; 3 Harwood fundamentals of pure and applied economics. Macroeconomics ; 3. |
| Materias: | |
| Ver en Biblioteca Universitat Ramon Llull: | https://discovery.url.edu/permalink/34CSUC_URL/1im36ta/alma991009628711706719 |
Tabla de Contenidos:
- Cover; REDUCED FORMS OF RATIONAL EXPECTATIONS MODELS; Copyright; Contents; Introduction to the Series; INTRODUCTION; Plan of the monograph; References; 1. EXPECTATION SCHEMES; 1. Expectations; 1.1. Basic notions; 1.2. Successive predictions; 2. Adaptive scheme; 2.1. The adaptive form; 2.2. The extrapolative form; 3. Rational scheme; 3.1. Optimal predictions; 3.2. Some properties of optimal predictions; 3.3. Prediction errors and updating; References; 2. A MODEL WITH CURRENT EXPECTATIONS; 1. An equilibrium model in an uncertain environment; 1.1. A Walrasian equilibrium model
- 1.2. Extension of the model1.3. The linear case; 2. Dynamic properties of the current expectation model; 2.1. The rational expectations model; 2.2. Comparison of the constrained and unconstrained reduced forms; 2.3. Comparison of various expectation schemes; 3. Learning processes; References; 3. A MODEL WITH FUTURE EXPECTATIONS; 1. Examples; 1.1. Hyperinflation models; 1.2. The Taylor model; 1.3. Some remarks on the price equation; 1.4. The evolution of an asset price; 2. A description of the solution methods; 2.1. The ""forward"" - ""backward"" approach; 2.2. Linear solutions
- 2.3. The general solution3. Properties of the solution set; 3.1. Impact of a terminal condition; 3.2. Impact of an initial condition; 3.3. Sunspots; 3.4. Stationary solutions; 3.5. Variability of the linear stationary solutions; 4. Learning processes; References; 4. DYNAMIC EXTENSIONS; 1. Some examples; 1.1. A model with various expectations of the current endogenous variable; 1.2. A model with a two-periods-ahead future expectation; 1.3. A model with one current expectation and one future expectation; 1.4. Some remarks; 2. Solutions to the general univariate model; 2.1. The model
- 2.2. Expression of the expectations in terms of realizations2.3. Constraints on the updating terms; 2.4. Some consequences; 2.5. Some applications; 3. Linear solutions; 3.1. The general form of the linear solutions; 3.2. (Asymptotic) stationarity of the linear solutions; 3.3. An example; References; 5. MULTIVARIATE MODELS; 1. Dynamic macroeconometric models; 2. A simple case; 2.1. The case without recursivities; 2.2. The special case of a nilpotent structural matrix; 2.3. The general case; 3. The general model; 3.1. Canonical forms; 3.2. Reduction of the canonical form
- 3.3. Reduction of the general model3.4. Linear stationary solutions; 4. Rational expectations and non-stationary models; 4.1. Decomposition of an ARIMA series and cointegration; 4.2. Application to rational expectations models; 5. Concluding remarks; References; 6. A MEAN-VARIANCE MODEL; 1. The model; 1.1. Demand function of the speculators; 1.2. Excess supply function of storable good; 1.3. Equilibrium condition; 2. Evolution of the equilibrium price; 3. Risk premia; 3.1. Asymptotic behavior of the solutions; 3.2. Comparative statics; References; INDEX
