Partial Current Information and Signal Extraction in a Rational Expectations Macroeconomic Model: A Computational Solution
AbstractPrevious attempts at modelling current observed endogenous financial variables in a macroeconomic model have concentrated on only one observed endogenous variable - namely the short-term rate of interest. The solution method for dealing with more than one observed endogenous variable has thus far been computationally intractable. This paper applies a general search algorithm to a macroeconomic model with an observed interest rate and exchange rate to solve the signal extraction problem. The informational advantage of applying the signal extraction algorithm to all the current observed endogenous variables is examined in terms of the implication for policy from the misperceptions of specific macroeconomic shocks.
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Bibliographic InfoPaper provided by Cardiff University, Cardiff Business School, Economics Section in its series Cardiff Economics Working Papers with number E2006/1.
Length: 29 pages
Date of creation: Jan 2006
Date of revision:
Publication status: Published in Economic Modelling , 25 (2) , March 2008, pp. 255-273
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Web page: http://business.cardiff.ac.uk/research/academic-sections/economics/working-papers
More information through EDIRC
Rational Expectations; Partial Current Information; Signal Extraction; Macroeconomic modelling;
Other versions of this item:
- Lungu, L. & Matthews, K.G.P. & Minford, A.P.L., 2008. "Partial current information and signal extraction in a rational expectations macroeconomic model: A computational solution," Economic Modelling, Elsevier, vol. 25(2), pages 255-273, March.
- L. Lungu & K. G. P. Matthews, 2002. "Partial Current Information and Signal Extraction in a Rational Expectations Macroeconomic Model: A Computational Solution," Computing in Economics and Finance 2002 115, Society for Computational Economics.
- E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
This paper has been announced in the following NEP Reports:
- NEP-ALL-2006-01-24 (All new papers)
- NEP-CMP-2006-01-24 (Computational Economics)
- NEP-MAC-2006-01-24 (Macroeconomics)
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.:
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