Rational Expectation Hypothesis: An Application of the Blanchard and Khan Approach
AbstractThis paper uses the solution of the linear difference model under rational expectation of Blanchard and Kahn (1980) to test the validity of the inflation stickiness and the Rational Expectation Hypotheses for the Brazilian economy during the period from 06/95 to 09/02. Using the Fuhrer-Moore model and GMM we find evidence favoring both hypothesis.
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Bibliographic InfoArticle provided by AccessEcon in its journal Economics Bulletin.
Volume (Year): 3 (2004)
Issue (Month): 22 ()
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Find related papers by JEL classification:
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
- E0 - Macroeconomics and Monetary Economics - - General
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Taylor, John B, 1980.
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University of Chicago Press, vol. 88(1), pages 1-23, February.
- Jeff Fuhrer & George Moore, 1993.
Board of Governors of the Federal Reserve System (U.S.).
- Taylor, John B, 1979. "Staggered Wage Setting in a Macro Model," American Economic Review, American Economic Association, vol. 69(2), pages 108-13, May.
- Roberts John M., 2005.
"How Well Does the New Keynesian Sticky-Price Model Fit the Data?,"
The B.E. Journal of Macroeconomics,
De Gruyter, vol. 5(1), pages 1-39, September.
- John M. Roberts, 2001. "How well does the New Keynesian sticky-price model fit the data?," Finance and Economics Discussion Series 2001-13, Board of Governors of the Federal Reserve System (U.S.).
- N. Gregory Mankiw, 2000.
"The Inexorable and Mysterious Tradeoff Between Inflation and Unemployment,"
NBER Working Papers
7884, National Bureau of Economic Research, Inc.
- Mankiw, N Gregory, 2001. "The Inexorable and Mysterious Tradeoff between Inflation and Unemployment," Economic Journal, Royal Economic Society, vol. 111(471), pages C45-61, May.
- N. Gregory Mankiw, 2000. "The Inexorable and Mysterious Tradeoff Between Inflation and Unemployment," Harvard Institute of Economic Research Working Papers 1905, Harvard - Institute of Economic Research.
- Blanchard, Olivier Jean & Kahn, Charles M, 1980. "The Solution of Linear Difference Models under Rational Expectations," Econometrica, Econometric Society, vol. 48(5), pages 1305-11, July.
- McCallum, Bennett T, 1976. "Rational Expectations and the Natural Rate Hypothesis: Some Consistent Estimates," Econometrica, Econometric Society, vol. 44(1), pages 43-52, January.
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