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Rational macroeconomic learning in linear expectational models

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Holden, Tom

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Abstract

Abstract: The partial information rational expectations solution to a general linear multivariate expectational macro-model is found when agents are uncertain about the true values of the model’s parameters. Necessary and sufficient conditions for convergence to the full information rational expectations solution are given, and the core of an algorithm for the Bayesian updating of beliefs is provided. In the course of this a new class of full information rational expectations equilibria is described and some of its desirable properties proven.

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Publisher Info
Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 10872.

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Date of creation: 01 May 2008
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Handle: RePEc:pra:mprapa:10872

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Related research
Keywords: Rational Expectations; Partial information; Bayesian learning; Generalized Schur decomposition; Sunspots; Indeterminacy; Feasible Rational Expectations Equilibria;

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Find related papers by JEL classification:
E00 - Macroeconomics and Monetary Economics - - General - - - General
C60 - Mathematical and Quantitative Methods - - Mathematical Methods and Programming - - - General
C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Bayesian Analysis

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