Partial current information and signal extraction in a rational expectations macroeconomic model: A computational solution
Previous 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.
(This abstract was borrowed from another version of this item.)
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Pearlman, Joseph & Currie, David & Levine, Paul, 1986. "Rational expectations models with partial information," Economic Modelling, Elsevier, vol. 3(2), pages 90-105, April.
- Jean-Pascal Benassy, 2001. "The Phillips Curve and Optimal Policy in a Structural Signal Extraction Model," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 4(1), pages 58-74, January.
- Minford, Patrick & Webb, Bruce, 2005. "Estimating large rational expectations models by FIML--some experiments using a new algorithm with bootstrap confidence limits," Economic Modelling, Elsevier, vol. 22(1), pages 187-205, January.
- Matthews, K. G. P. & Minford, A. P. L. & Blackman, S. C., 1994. "An algorithm for the solution of non-linear forward rational expectations models with current partial information," Economic Modelling, Elsevier, vol. 11(3), pages 351-358, July.
- Barro, Robert J, 1980.
"A Capital Market in an Equilibrium Business Cycle Model,"
Econometric Society, vol. 48(6), pages 1393-1417, September.
- Robert J. Barro, 1979. "A Capital Market In an Equilibrium Business Cycle Model," NBER Working Papers 0326, National Bureau of Economic Research, Inc.
- Budd, Alan & Dicks, Geoffrey & Holly, Sean & Keating, Giles & Robinson, Bill, 1984. "The London Business School econometric model of the UK," Economic Modelling, Elsevier, vol. 1(4), pages 355-420, October.
- Lucas, Robert Jr., 1972. "Expectations and the neutrality of money," Journal of Economic Theory, Elsevier, vol. 4(2), pages 103-124, April.
- Benassy, Jean-Pascal, 1999. "Analytical solutions to a structural signal extraction model: Lucas 1972 revisited," Journal of Monetary Economics, Elsevier, vol. 44(3), pages 509-521, December.
- Minford, A P L & Peel, D A, 1983. "Some Implications of Partial Current Information Sets in Macroeconomic Models Embodying Rational Expectations," The Manchester School of Economic & Social Studies, University of Manchester, vol. 51(3), pages 235-49, September.
- repec:sae:niesru:v:114:y::i:1:p:58-68 is not listed on IDEAS
- Lucas, Robert E, Jr, 1973. "Some International Evidence on Output-Inflation Tradeoffs," American Economic Review, American Economic Association, vol. 63(3), pages 326-34, June.
- Sargent, Thomas J., 1991. "Equilibrium with signal extraction from endogenous variables," Journal of Economic Dynamics and Control, Elsevier, vol. 15(2), pages 245-273, April.
When requesting a correction, please mention this item's handle: RePEc:eee:ecmode:v:25:y:2008:i:2:p:255-273. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei)
If references are entirely missing, you can add them using this form.