Rational Expectation Hypothesis: An Application of the Blanchard and Khan Approach
This paper uses the solution of the linear difference model under rational expectation of Blanchard and Kahn (1980) to test the validity of the inflation stickiness and the Rational Expectation Hypotheses for the Brazilian economy during the period from 06/95 to 09/02. Using the Fuhrer-Moore model and GMM we find evidence favoring both hypothesis.
Volume (Year): 3 (2004)
Issue (Month): 22 ()
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References listed on IDEAS
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- N. Gregory Mankiw, 2000.
"The Inexorable and Mysterious Tradeoff Between Inflation and Unemployment,"
Harvard Institute of Economic Research Working Papers
1905, Harvard - Institute of Economic Research.
- Mankiw, N Gregory, 2001. "The Inexorable and Mysterious Tradeoff between Inflation and Unemployment," Economic Journal, Royal Economic Society, vol. 111(471), pages C45-61, May.
- N. Gregory Mankiw, 2000. "The Inexorable and Mysterious Tradeoff Between Inflation and Unemployment," NBER Working Papers 7884, National Bureau of Economic Research, Inc.
- McCallum, Bennett T, 1976. "Rational Expectations and the Natural Rate Hypothesis: Some Consistent Estimates," Econometrica, Econometric Society, vol. 44(1), pages 43-52, January.
- repec:nbr:nberre:0126 is not listed on IDEAS
- John M. Roberts, 2001.
"How well does the New Keynesian sticky-price model fit the data?,"
Finance and Economics Discussion Series
2001-13, Board of Governors of the Federal Reserve System (U.S.).
- Roberts John M., 2005. "How Well Does the New Keynesian Sticky-Price Model Fit the Data?," The B.E. Journal of Macroeconomics, De Gruyter, vol. 5(1), pages 1-39, September.
- Blanchard, Olivier Jean & Kahn, Charles M, 1980. "The Solution of Linear Difference Models under Rational Expectations," Econometrica, Econometric Society, vol. 48(5), pages 1305-11, July.
- Taylor, John B, 1980.
"Aggregate Dynamics and Staggered Contracts,"
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University of Chicago Press, vol. 88(1), pages 1-23, February.
- Taylor, John B, 1979. "Staggered Wage Setting in a Macro Model," American Economic Review, American Economic Association, vol. 69(2), pages 108-13, May.
- Jeff Fuhrer & George Moore, 1995. "Inflation Persistence," The Quarterly Journal of Economics, Oxford University Press, vol. 110(1), pages 127-159.
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