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Determinacy and Stability under Learning of Rational Expectations Equilibria

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Author Info

  • Gauthier, S.

Abstract

This paper studies relationships between the local determinacy of a stationary equilibrium in the perfect foresight dynamics, and its local stability in dynamics arising from econometric learning procedures. There is no clear links in linear scalar economieds where agents forecast only one period ahead, and with an arbitrary (fixed) number of predetermined variables.

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Bibliographic Info

Paper provided by DELTA (Ecole normale supérieure) in its series DELTA Working Papers with number 1999-22.

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Length: 16 pages
Date of creation: 1999
Date of revision:
Publication status: Published in Journal of Economic, February 2002, 102, pp. 354-374.
Handle: RePEc:del:abcdef:1999-22

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Keywords: ECONOMIC MODELS ; LEARNING ; EXPECTATIONS;

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References

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  1. Jean-Michel Grandmont, 1998. "Expectations Formation and Stability of Large Socioeconomic Systems," Econometrica, Econometric Society, vol. 66(4), pages 741-782, July.
  2. Woodford, Michael, 1990. "Learning to Believe in Sunspots," Econometrica, Econometric Society, vol. 58(2), pages 277-307, March.
  3. Reichlin, Pietro, 1986. "Equilibrium cycles in an overlapping generations economy with production," Journal of Economic Theory, Elsevier, vol. 40(1), pages 89-102, October.
  4. Evans, George W. & Honkapohja, S., 1998. "Stochastic gradient learning in the cobweb model," Economics Letters, Elsevier, vol. 61(3), pages 333-337, December.
  5. Grandmont Jean-michel & Laroque Guy, 1985. "Stability of cycles and expectations," CEPREMAP Working Papers (Couverture Orange) 8519, CEPREMAP.
  6. Lucas, Robert E, Jr, 1986. "Adaptive Behavior and Economic Theory," The Journal of Business, University of Chicago Press, vol. 59(4), pages S401-26, October.
  7. Marcet, Albert & Sargent, Thomas J., 1989. "Convergence of least squares learning mechanisms in self-referential linear stochastic models," Journal of Economic Theory, Elsevier, vol. 48(2), pages 337-368, August.
  8. Duffy John, 1994. "On Learning and the Nonuniqueness of Equilibrium in an Overlapping Generations Model with Fiat Money," Journal of Economic Theory, Elsevier, vol. 64(2), pages 541-553, December.
  9. Evans, George W., 1989. "The fragility of sunspots and bubbles," Journal of Monetary Economics, Elsevier, vol. 23(2), pages 297-317, March.
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Citations

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Cited by:
  1. Gauthier, Stephane, 2004. "Determinacy in linear rational expectations models," Journal of Mathematical Economics, Elsevier, vol. 40(7), pages 815-830, November.
  2. Roger Guesnerie, 2009. "Macroeconomic and Monetary Policies from the Eductive Viewpoint," Central Banking, Analysis, and Economic Policies Book Series, in: Klaus Schmidt-Hebbel & Carl E. Walsh & Norman Loayza (Series Editor) & Klaus Schmidt-Hebbel (Series (ed.), Monetary Policy under Uncertainty and Learning, edition 1, volume 13, chapter 6, pages 171-202 Central Bank of Chile.
  3. Desgranges, Gabriel & Negroni, Giorgio, 2003. "Expectations Coordination On A Sunspot Equilibrium: An Eductive Approach," Macroeconomic Dynamics, Cambridge University Press, vol. 7(01), pages 7-41, February.
  4. Roger Guesnerie & Pedro Jara-Moroni, 2011. "Expectational coordination in simple economic contexts," Economic Theory, Springer, vol. 47(2), pages 205-246, June.
  5. Jara-Moroni, Pedro, 2012. "Rationalizability in games with a continuum of players," Games and Economic Behavior, Elsevier, vol. 75(2), pages 668-684.
  6. Seonghoon Cho & Antonio Moreno, 2006. "Expectational Stability in Multivariate Models," Faculty Working Papers 06/08, School of Economics and Business Administration, University of Navarra.
  7. repec:hal:wpaper:halshs-00586749 is not listed on IDEAS
  8. repec:hal:wpaper:halshs-00574957 is not listed on IDEAS
  9. Bennett McCallum, . "On the Relationship Between Determinate and MSV Solutions in Linear RE Models," GSIA Working Papers 2003-E78, Carnegie Mellon University, Tepper School of Business.

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