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Assessing Rational Expectations 2

Author: Roger Guesnerie

Publisher: MIT Press

Published: 2005-02-18

Total Pages: 498

ISBN-13: 9780262262903

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A theoretical assessment of the Rational Expectations Hypothesis through subjecting a collection of economic models to an "eductive stability" test. The rational expectations hypothesis (REH) dominates economic modeling in areas ranging from monetary theory, macroeconomics, and general equilibrium to finance. In this book, Roger Guesnerie continues the critical analysis of the REH begun in his Assessing Rational Expectations: Sunspot Multiplicity and Economic Fluctuations, which dealt with the questions raised by multiplicity and its implications for a theory of endogenous fluctuations. This second volume emphasizes "eductive" learning: relying on careful reasoning, agents must deduce what other agents guess, a process that differs from the standard evolutionary learning experience in which agents make decisions about the future based on past experiences. A broad "eductive" stability test is proposed that includes common knowledge and results in a unique "rationalizable expectations equilibrium." This test provides the basis for Guesnerie's theoretical assessment of the plausibility of the REH's expectational coordination, emphasizing, for different categories of economic models, conditions for the REH's success or failure. Guesnerie begins by presenting the concepts and methods of the eductive stability analysis in selected partial equilibrium models. He then explores to what extent general equilibrium strategic complementarities interfere with partial equilibrium considerations in the formation of stable expectations. Guesnerie next examines two issues relating to eductive stability in financial market models, speculation and asymmetric price information. The dynamic settings of an infinite horizon model are then taken up, and particular standard and generalized saddle-path solutions are scrutinized. Guesnerie concludes with a review of general questions and some "cautious" remarks on the policy implications of his analysis.

Book Synopsis Assessing Rational Expectations 2 by : Roger Guesnerie

Download or read book Assessing Rational Expectations 2 written by Roger Guesnerie and published by MIT Press. This book was released on 2005-02-18 with total page 498 pages. Available in PDF, EPUB and Kindle. Book excerpt: A theoretical assessment of the Rational Expectations Hypothesis through subjecting a collection of economic models to an "eductive stability" test. The rational expectations hypothesis (REH) dominates economic modeling in areas ranging from monetary theory, macroeconomics, and general equilibrium to finance. In this book, Roger Guesnerie continues the critical analysis of the REH begun in his Assessing Rational Expectations: Sunspot Multiplicity and Economic Fluctuations, which dealt with the questions raised by multiplicity and its implications for a theory of endogenous fluctuations. This second volume emphasizes "eductive" learning: relying on careful reasoning, agents must deduce what other agents guess, a process that differs from the standard evolutionary learning experience in which agents make decisions about the future based on past experiences. A broad "eductive" stability test is proposed that includes common knowledge and results in a unique "rationalizable expectations equilibrium." This test provides the basis for Guesnerie's theoretical assessment of the plausibility of the REH's expectational coordination, emphasizing, for different categories of economic models, conditions for the REH's success or failure. Guesnerie begins by presenting the concepts and methods of the eductive stability analysis in selected partial equilibrium models. He then explores to what extent general equilibrium strategic complementarities interfere with partial equilibrium considerations in the formation of stable expectations. Guesnerie next examines two issues relating to eductive stability in financial market models, speculation and asymmetric price information. The dynamic settings of an infinite horizon model are then taken up, and particular standard and generalized saddle-path solutions are scrutinized. Guesnerie concludes with a review of general questions and some "cautious" remarks on the policy implications of his analysis.

Assessing Rational Expectations 2

Author: R. Guesnerie

Publisher: Mit Press

Published: 2005

Total Pages: 455

ISBN-13: 9780262072588

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A theoretical assessment of the Rational Expectations Hypothesis through subjecting a collection of economic models to an "eductive stability" test.

Book Synopsis Assessing Rational Expectations 2 by : R. Guesnerie

Download or read book Assessing Rational Expectations 2 written by R. Guesnerie and published by Mit Press. This book was released on 2005 with total page 455 pages. Available in PDF, EPUB and Kindle. Book excerpt: A theoretical assessment of the Rational Expectations Hypothesis through subjecting a collection of economic models to an "eductive stability" test.

Assessing Rational Expectations

Author: R. Guesnerie

Publisher: Mit Press

Published: 2001

Total Pages: 319

ISBN-13: 9780262072076

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Roger Guesnerie contributes to the critical assessment of the Rational Expectations hypothesis (REH).

Book Synopsis Assessing Rational Expectations by : R. Guesnerie

Download or read book Assessing Rational Expectations written by R. Guesnerie and published by Mit Press. This book was released on 2001 with total page 319 pages. Available in PDF, EPUB and Kindle. Book excerpt: Roger Guesnerie contributes to the critical assessment of the Rational Expectations hypothesis (REH).

Assessing Rational Expectations

Author: Roger Guesnerie

Publisher: MIT Press

Published: 2001-04-13

Total Pages: 350

ISBN-13: 9780262262798

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Roger Guesnerie contributes to the critical assessment of the Rational Expectations hypothesis (REH). In this book Roger Guesnerie contributes to the critical assessment of the Rational Expectations hypothesis (REH). He focuses on the multiplicity question that arises in (infinite horizon) Rational Expectation models and considers the implications for a theory of endogenous fluctuations. The REH, which dominates the economic modeling of expectations in most fields of formalized economic theory, is often associated with an optimistic view of the working of the markets—a view that Guesnerie scrutinizes closely. The book is divided into four parts. The first part uses the framework of simple models to characterize the stochastic processes that trigger self-fulfilling prophecies and examines the connections between periodic equilibria (cycles) and stochastic equilibria (sunspots). (A sunspot is a random shock uncorrelated with underlying economic fundamentals.) The second part views sunspot equilibria as overreactions triggered by small variations of intrinsic variables—rather than as fluctuations with no trigger—and looks at the consequences for a monetary theory à la Lucas. The third part develops the basic theory to encompass more complex, multidimensional systems. It focuses in particular on the special class of equilibria generating small fluctuations around a steady state. Broadening the scope, the fourth part looks at the stability of cycles, sunspots in systems with memory, and current research on rational expectations.

Book Synopsis Assessing Rational Expectations by : Roger Guesnerie

Download or read book Assessing Rational Expectations written by Roger Guesnerie and published by MIT Press. This book was released on 2001-04-13 with total page 350 pages. Available in PDF, EPUB and Kindle. Book excerpt: Roger Guesnerie contributes to the critical assessment of the Rational Expectations hypothesis (REH). In this book Roger Guesnerie contributes to the critical assessment of the Rational Expectations hypothesis (REH). He focuses on the multiplicity question that arises in (infinite horizon) Rational Expectation models and considers the implications for a theory of endogenous fluctuations. The REH, which dominates the economic modeling of expectations in most fields of formalized economic theory, is often associated with an optimistic view of the working of the markets—a view that Guesnerie scrutinizes closely. The book is divided into four parts. The first part uses the framework of simple models to characterize the stochastic processes that trigger self-fulfilling prophecies and examines the connections between periodic equilibria (cycles) and stochastic equilibria (sunspots). (A sunspot is a random shock uncorrelated with underlying economic fundamentals.) The second part views sunspot equilibria as overreactions triggered by small variations of intrinsic variables—rather than as fluctuations with no trigger—and looks at the consequences for a monetary theory à la Lucas. The third part develops the basic theory to encompass more complex, multidimensional systems. It focuses in particular on the special class of equilibria generating small fluctuations around a steady state. Broadening the scope, the fourth part looks at the stability of cycles, sunspots in systems with memory, and current research on rational expectations.

The Rational Expectations Hypothesis

Author: Ivan H. Ayala

Publisher:

Published: 2014

Total Pages: 29

ISBN-13:

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Book Synopsis The Rational Expectations Hypothesis by : Ivan H. Ayala

Download or read book The Rational Expectations Hypothesis written by Ivan H. Ayala and published by . This book was released on 2014 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt:

A Comprehensive Assessment of the Role of Risk in U.S. Agriculture

Author: Richard E. Just

Publisher: Springer Science & Business Media

Published: 2013-11-11

Total Pages: 580

ISBN-13: 1475735839

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After all the research on agricultural risk to date, the treatment of risk in agricultural research is far from harmonious. Many competing risk models have been proposed. Some new methodologies are largely untested. Some of the leading empirical methodologies in agricultural economic research are poorly suited for problems with aggregate data where risk averse behavior is less likely to be important. This book is intended to (i) define the current state of the literature on agricultural risk research, (ii) provide a critical evaluation of economic risk research on agriculture to date and (iii) set a research agenda that will meet future needs and prospects. This type of research promises to become of increasing importance because agricultural policy in the United States and elsewhere has decidedly shifted from explicit income support objectives to risk-related motivations of helping farmers deal with risk. Beginning with the 1996 Farm Bill, the primary set of policy instruments from U.S. agriculture has shifted from target prices and set aside acreage to agricultural crop insurance. Because this book is intended to have specific implications for U.S. agricultural policy, it has a decidedly domestic scope, but clearly many of the issues have application abroad. For each of the papers and topics included in this volume, individuals have been selected to give the strongest and broadest possible treatment of each facet of the problem. The result is this comprehensive reference book on the economics of agricultural risk.

Book Synopsis A Comprehensive Assessment of the Role of Risk in U.S. Agriculture by : Richard E. Just

Download or read book A Comprehensive Assessment of the Role of Risk in U.S. Agriculture written by Richard E. Just and published by Springer Science & Business Media. This book was released on 2013-11-11 with total page 580 pages. Available in PDF, EPUB and Kindle. Book excerpt: After all the research on agricultural risk to date, the treatment of risk in agricultural research is far from harmonious. Many competing risk models have been proposed. Some new methodologies are largely untested. Some of the leading empirical methodologies in agricultural economic research are poorly suited for problems with aggregate data where risk averse behavior is less likely to be important. This book is intended to (i) define the current state of the literature on agricultural risk research, (ii) provide a critical evaluation of economic risk research on agriculture to date and (iii) set a research agenda that will meet future needs and prospects. This type of research promises to become of increasing importance because agricultural policy in the United States and elsewhere has decidedly shifted from explicit income support objectives to risk-related motivations of helping farmers deal with risk. Beginning with the 1996 Farm Bill, the primary set of policy instruments from U.S. agriculture has shifted from target prices and set aside acreage to agricultural crop insurance. Because this book is intended to have specific implications for U.S. agricultural policy, it has a decidedly domestic scope, but clearly many of the issues have application abroad. For each of the papers and topics included in this volume, individuals have been selected to give the strongest and broadest possible treatment of each facet of the problem. The result is this comprehensive reference book on the economics of agricultural risk.

Knowledge, Beliefs and Economics

Author: R. Arena

Publisher: Edward Elgar Publishing

Published: 2006-01-01

Total Pages: 289

ISBN-13: 1847201539

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The contributors to this book also suggest the need for a more integrated perspective on the meaning, as well as the role, of knowledge and beliefs in economics in the future. Possible lines of future research such as the extension of the concept of rationality in economics or the focus on cognitive processes in economic action are discussed.

Book Synopsis Knowledge, Beliefs and Economics by : R. Arena

Download or read book Knowledge, Beliefs and Economics written by R. Arena and published by Edward Elgar Publishing. This book was released on 2006-01-01 with total page 289 pages. Available in PDF, EPUB and Kindle. Book excerpt: The contributors to this book also suggest the need for a more integrated perspective on the meaning, as well as the role, of knowledge and beliefs in economics in the future. Possible lines of future research such as the extension of the concept of rationality in economics or the focus on cognitive processes in economic action are discussed.

Rethinking Expectations

Author: Roman Frydman

Publisher: Princeton University Press

Published: 2013

Total Pages: 440

ISBN-13: 0691155232

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This book originated from a 2010 conference marking the fortieth anniversary of the publication of the landmark "Phelps volume," Microeconomic Foundations of Employment and Inflation Theory, a book that is often credited with pioneering the currently dominant approach to macroeconomic analysis. However, in their provocative introductory essay, Roman Frydman and Edmund Phelps argue that the vast majority of macroeconomic and finance models developed over the last four decades derailed, rather than built on, the Phelps volume's "microfoundations" approach. Whereas the contributors to the 1970 volume recognized the fundamental importance of according market participants' expectations an autonomous role, contemporary models rely on the rational expectations hypothesis (REH), which rules out such a role by design. The financial crisis that began in 2007, preceded by a spectacular boom and bust in asset prices that REH models implied could never happen, has spurred a quest for fresh approaches to macroeconomic analysis. While the alternatives to REH presented in Rethinking Expectations differ from the approach taken in the original Phelps volume, they are notable for returning to its major theme: understanding aggregate outcomes requires according expectations an autonomous role. In the introductory essay, Frydman and Phelps interpret the various efforts to reconstruct the field--some of which promise to chart its direction for decades to come. The contributors include Philippe Aghion, Sheila Dow, George W. Evans, Roger E. A. Farmer, Roman Frydman, Michael D. Goldberg, Roger Guesnerie, Seppo Honkapohja, Katarina Juselius, Enisse Kharroubi, Blake LeBaron, Edmund S. Phelps, John B. Taylor, Michael Woodford, and Gylfi Zoega.

Book Synopsis Rethinking Expectations by : Roman Frydman

Download or read book Rethinking Expectations written by Roman Frydman and published by Princeton University Press. This book was released on 2013 with total page 440 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book originated from a 2010 conference marking the fortieth anniversary of the publication of the landmark "Phelps volume," Microeconomic Foundations of Employment and Inflation Theory, a book that is often credited with pioneering the currently dominant approach to macroeconomic analysis. However, in their provocative introductory essay, Roman Frydman and Edmund Phelps argue that the vast majority of macroeconomic and finance models developed over the last four decades derailed, rather than built on, the Phelps volume's "microfoundations" approach. Whereas the contributors to the 1970 volume recognized the fundamental importance of according market participants' expectations an autonomous role, contemporary models rely on the rational expectations hypothesis (REH), which rules out such a role by design. The financial crisis that began in 2007, preceded by a spectacular boom and bust in asset prices that REH models implied could never happen, has spurred a quest for fresh approaches to macroeconomic analysis. While the alternatives to REH presented in Rethinking Expectations differ from the approach taken in the original Phelps volume, they are notable for returning to its major theme: understanding aggregate outcomes requires according expectations an autonomous role. In the introductory essay, Frydman and Phelps interpret the various efforts to reconstruct the field--some of which promise to chart its direction for decades to come. The contributors include Philippe Aghion, Sheila Dow, George W. Evans, Roger E. A. Farmer, Roman Frydman, Michael D. Goldberg, Roger Guesnerie, Seppo Honkapohja, Katarina Juselius, Enisse Kharroubi, Blake LeBaron, Edmund S. Phelps, John B. Taylor, Michael Woodford, and Gylfi Zoega.

Macroeconomics at the Service of Public Policy

Author: Thomas J. Sargent

Publisher: OUP Oxford

Published: 2013-02-28

Total Pages: 240

ISBN-13: 0191643912

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This volume uses state of the art models from the frontier of macroeconomics to answer key questions about how the economy functions and how policy should be conducted. The contributions cover a wide range of issues in macroeconomics and macroeconomic policy. They combine high level mathematics with economic analysis, and highlight the need to update our mathematical toolbox in order to understand the increased complexity of the macroeconomic environment. The volume represents hard evidence of high research intensity in many fields of macroeconomics, and warns against interpreting the scope of macroeconomics too narrowly. The mainstream business cycle analysis, based on dynamic stochastic general equilibrium (DSGE) modelling of a particular type, has been criticised for its inability to predict or resolve the recent financial crisis. However, macroeconomic research on financial, information, and learning imperfections had not yet made their way into many of the pre-crisis DSGE models because practical econometric versions of those models were mainly designed to fit data periods that did not include financial crises. A major response to the limitations of those older DSGE models is an active research program to bring big financial shocks and various kinds of financial, learning, and labour market frictions into a new generation of DSGE models for guiding policy. The contributors to this book utilise models and modelling assumptions that go beyond particular modelling conventions. By using alternative yet plausible assumptions, they seek to enrich our knowledge and ability to explain macroeconomic phenomena. They contribute to expanding the frontier of macroeconomic knowledge in ways that will prove useful for macroeconomic policy.

Book Synopsis Macroeconomics at the Service of Public Policy by : Thomas J. Sargent

Download or read book Macroeconomics at the Service of Public Policy written by Thomas J. Sargent and published by OUP Oxford. This book was released on 2013-02-28 with total page 240 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume uses state of the art models from the frontier of macroeconomics to answer key questions about how the economy functions and how policy should be conducted. The contributions cover a wide range of issues in macroeconomics and macroeconomic policy. They combine high level mathematics with economic analysis, and highlight the need to update our mathematical toolbox in order to understand the increased complexity of the macroeconomic environment. The volume represents hard evidence of high research intensity in many fields of macroeconomics, and warns against interpreting the scope of macroeconomics too narrowly. The mainstream business cycle analysis, based on dynamic stochastic general equilibrium (DSGE) modelling of a particular type, has been criticised for its inability to predict or resolve the recent financial crisis. However, macroeconomic research on financial, information, and learning imperfections had not yet made their way into many of the pre-crisis DSGE models because practical econometric versions of those models were mainly designed to fit data periods that did not include financial crises. A major response to the limitations of those older DSGE models is an active research program to bring big financial shocks and various kinds of financial, learning, and labour market frictions into a new generation of DSGE models for guiding policy. The contributors to this book utilise models and modelling assumptions that go beyond particular modelling conventions. By using alternative yet plausible assumptions, they seek to enrich our knowledge and ability to explain macroeconomic phenomena. They contribute to expanding the frontier of macroeconomic knowledge in ways that will prove useful for macroeconomic policy.

The Rational Expectations Revolution

Author: Preston J. Miller

Publisher: MIT Press

Published: 1994

Total Pages: 534

ISBN-13: 9780262631556

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These 21 readings describe the orgins and growth of the macroeconomic analysis known as "rational expectations". The readings trace the development of this approach from the late 1970s to the 1990s.

Book Synopsis The Rational Expectations Revolution by : Preston J. Miller

Download or read book The Rational Expectations Revolution written by Preston J. Miller and published by MIT Press. This book was released on 1994 with total page 534 pages. Available in PDF, EPUB and Kindle. Book excerpt: These 21 readings describe the orgins and growth of the macroeconomic analysis known as "rational expectations". The readings trace the development of this approach from the late 1970s to the 1990s.