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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- McCallum, Bennett T, 1976. "Rational Expectations and the Natural Rate Hypothesis: Some Consistent Estimates," Econometrica, Econometric Society, vol. 44(1), pages 43-52, January.
- N. Gregory Mankiw, 2000.
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- 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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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.
- Taylor, John B, 1979. "Staggered Wage Setting in a Macro Model," American Economic Review, American Economic Association, vol. 69(2), pages 108-13, May.
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