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Determinacy and Stability Under Learning of Rational Expectations Equilibria

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  • Gauthier, S.

Abstract

This paper studies relationships between the 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 economies where agents forecast only one perods ahead, and with an arbitrary (fixed) number of predetermined variables.

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Bibliographic Info

Paper provided by Universite Aix-Marseille III in its series G.R.E.Q.A.M. with number 99a46.

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Length: 19 pages
Date of creation: 1999
Date of revision:
Handle: RePEc:fth:aixmeq:99a46

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Postal: G.R.E.Q.A.M., (GROUPE DE RECHERCHE EN ECONOMIE QUANTITATIVE D'AIX MARSEILLE), CENTRE DE VIEILLE CHARITE, 2 RUE DE LA CHARITE, 13002 MARSEILLE.
Phone: 04.91.14.07.70
Fax: 04.91.90.02.27
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Web page: http://www.greqam.fr/
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Related research

Keywords: EXPECTATIONS ; ECONOMIC MODELS ; BUSINESS CYCLES;

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References

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  1. Evans, G.W. & Honkapohja, S., 1998. "Stochastic Gradient Learning in the Cobweb Model," University of Helsinki, Department of Economics 438, Department of Economics.
  2. Jean-Michel Grandmont, 1997. "Expectations Formation and Stability of Large Socioeconomic Systems," Working Papers 97-27, Centre de Recherche en Economie et Statistique.
  3. 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.
  4. Evans, George W., 1989. "The fragility of sunspots and bubbles," Journal of Monetary Economics, Elsevier, vol. 23(2), pages 297-317, March.
  5. 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.
  6. Woodford, Michael, 1990. "Learning to Believe in Sunspots," Econometrica, Econometric Society, vol. 58(2), pages 277-307, March.
  7. Grandmont Jean-michel & Laroque Guy, 1985. "Stability of cycles and expectations," CEPREMAP Working Papers (Couverture Orange) 8519, CEPREMAP.
  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. Reichlin, Pietro, 1986. "Equilibrium cycles in an overlapping generations economy with production," Journal of Economic Theory, Elsevier, vol. 40(1), pages 89-102, October.
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Citations

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Cited by:
  1. Stéphane Gauthier, 2004. "Determinacy in Linear Rational Expectations Models," Post-Print hal-00731138, HAL.
  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. McCallum, Bennett T., 2004. "On the relationship between determinate and MSV solutions in linear RE models," Economics Letters, Elsevier, vol. 84(1), pages 55-60, July.
  6. Jara-Moroni, Pedro, 2012. "Rationalizability in games with a continuum of players," Games and Economic Behavior, Elsevier, vol. 75(2), pages 668-684.
  7. repec:hal:wpaper:halshs-00586749 is not listed on IDEAS
  8. Seonghoon Cho & Antonio Moreno, 2006. "Expectational Stability in Multivariate Models," Faculty Working Papers 06/08, School of Economics and Business Administration, University of Navarra.
  9. repec:hal:wpaper:halshs-00574957 is not listed on IDEAS

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