Consistent Expectations Equilibria
AbstractWe consider a class of nonlinear dynamic economic models inwhich the actual realizations of a certain variable (e.g., price) dependon the agents expectations about this variable. We define a consistentexpectations equilibrium (CEE) by the property that the sample averageand the sample autocorrelations of the realizations of the actual lawof motion equal the average and the autocorrelations of the perceived lawof motion. Along a CEE agent s expectations are thus self-fulfilling interms of the observable sample average and sample autocorrelations.Restricting ourselves to the case in which beliefs are described byan AR(1) process, we study existence and stability of three differenttypes of CEE: steady-state, two-cycle, and chaotic. We illustrate howthese equilibria can emerge in the nonlinear cobweb model. Learningdynamics based on sample average and sample autocorrelations areintroduced and stability of CEE under this learning process isinvestigated.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by Cambridge University Press in its journal Macroeconomic Dynamics.
Volume (Year): 2 (1998)
Issue (Month): 03 (September)
Contact details of provider:
Postal: The Edinburgh Building, Shaftesbury Road, Cambridge CB2 2RU UK
Fax: +44 (0)1223 325150
Web page: http://journals.cambridge.org/jid_MDYProvider-Email:firstname.lastname@example.org
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
This item has more than 25 citations. To prevent cluttering this page, these citations are listed on a separate page. reading list or among the top items on IDEAS.Access and download statisticsgeneral information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Keith Waters).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.