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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 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. Jean-Michel Grandmont, 1998. "Expectations Formation and Stability of Large Socioeconomic Systems," Econometrica, Econometric Society, vol. 66(4), pages 741-782, July.
  2. 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.
  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. Reichlin, Pietro, 1986. "Equilibrium cycles in an overlapping generations economy with production," Journal of Economic Theory, Elsevier, vol. 40(1), pages 89-102, October.
  5. 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.
  6. Evans, George W. & Honkapohja, S., 1998. "Stochastic gradient learning in the cobweb model," Economics Letters, Elsevier, vol. 61(3), pages 333-337, December.
  7. Woodford, Michael, 1990. "Learning to Believe in Sunspots," Econometrica, Econometric Society, vol. 58(2), pages 277-307, March.
  8. Grandmont Jean-michel & Laroque Guy, 1985. "Stability of cycles and expectations," CEPREMAP Working Papers (Couverture Orange) 8519, CEPREMAP.
  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. 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.
  2. Jara-Moroni, Pedro, 2012. "Rationalizability in games with a continuum of players," Games and Economic Behavior, Elsevier, vol. 75(2), pages 668-684.
  3. Seonghoon Cho & Antonio Moreno, 2006. "Expectational Stability in Multivariate Models," Faculty Working Papers 06/08, School of Economics and Business Administration, University of Navarra.
  4. Roger Guesnerie, 2008. "Macroeconomic And Monetary Policies From The Eductive Viewpoint," Working Papers Central Bank of Chile 498, Central Bank of Chile.
  5. repec:hal:wpaper:halshs-00586749 is not listed on IDEAS
  6. repec:hal:wpaper:halshs-00574957 is not listed on IDEAS
  7. G. Desgranges & G. Negroni, 2001. "Expectations Coordination on a Sunspot Equilibrium: an Eductive Approach," THEMA Working Papers 2001-13, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
  8. Stéphane Gauthier, 2004. "Determinacy in Linear Rational Expectations Models," Post-Print hal-00731138, HAL.
  9. Roger Guesnerie & Pedro Jara-Moroni, 2011. "Expectational coordination in simple economic contexts," Economic Theory, Springer, vol. 47(2), pages 205-246, June.

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