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 Society for Computational Economics in its series Computing in Economics and Finance 2002 with number 115.
Date of creation: 01 Jul 2002
Date of revision:
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.
- Lungu, Laurian & Matthews, Kent & Minford, Patrick, 2006. "Partial Current Information and Signal Extraction in a Rational Expectations Macroeconomic Model: A Computational Solution," Cardiff Economics Working Papers E2006/1, Cardiff University, Cardiff Business School, Economics Section.
- E17 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - Forecasting and Simulation: Models and Applications
This paper has been announced in the following NEP Reports:
- NEP-ALL-2003-10-20 (All new papers)
- NEP-CMP-2003-10-20 (Computational Economics)
- NEP-MAC-2003-10-20 (Macroeconomics)
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