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Learning in a Medium-Scale DSGE Model with Expectations Based on Small Forecasting Models

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Cited by:

  1. Poledna, Sebastian & Miess, Michael Gregor & Hommes, Cars & Rabitsch, Katrin, 2023. "Economic forecasting with an agent-based model," European Economic Review, Elsevier, vol. 151(C).
  2. Cars Hommes & Kostas Mavromatis & Tolga Ozden & Mei Zhu, 2019. "Behavioral learning equilibria in the New Keynesian model," DNB Working Papers 654, Netherlands Central Bank, Research Department.
  3. Guido Ascari & Sophocles Mavroeidis & Nigel McClung, 2023. "Coherence without Rationality at the ZLB," DEM Working Papers Series 212, University of Pavia, Department of Economics and Management.
  4. Benhabib, Jess & Evans, George W. & Honkapohja, Seppo, 2014. "Liquidity traps and expectation dynamics: Fiscal stimulus or fiscal austerity?," Journal of Economic Dynamics and Control, Elsevier, vol. 45(C), pages 220-238.
  5. Stefano Eusepi & Bruce Preston, 2018. "Fiscal Foundations of Inflation: Imperfect Knowledge," American Economic Review, American Economic Association, vol. 108(9), pages 2551-2589, September.
  6. Marine Charlotte André & Meixing Dai, 2017. "Can inflation contract discipline central bankers when agents are learning?," Working Papers of BETA 2017-25, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg.
  7. Alejandro Justiniano & Giorgio E. Primiceri & Andrea Tambalotti, 2013. "The Effects of the Saving and Banking Glut on the U.S. Economy," NBER Chapters, in: NBER International Seminar on Macroeconomics 2013, pages 52-67, National Bureau of Economic Research, Inc.
  8. Eusepi, Stefano & Giannoni, Marc P. & Preston, Bruce, 2018. "Some implications of learning for price stability," European Economic Review, Elsevier, vol. 106(C), pages 1-20.
  9. Galimberti Jaqueson K., 2024. "Initial Beliefs Uncertainty," The B.E. Journal of Macroeconomics, De Gruyter, vol. 24(1), pages 45-96, January.
  10. Audzei, Volha, 2023. "Learning and cross-country correlations in a multi-country DSGE model," Economic Modelling, Elsevier, vol. 120(C).
  11. Iliopulos, Eleni & Perego, Erica & Sopraseuth, Thepthida, 2021. "International business cycles: Information matters," Journal of Monetary Economics, Elsevier, vol. 123(C), pages 19-34.
  12. Paccagnini, Alessia, 2017. "Dealing with Misspecification in DSGE Models: A Survey," MPRA Paper 82914, University Library of Munich, Germany.
  13. Han, Zhao, 2021. "Low-frequency fiscal uncertainty," Journal of Monetary Economics, Elsevier, vol. 117(C), pages 639-657.
  14. Audzei, Volha & Slobodyan, Sergey, 2022. "Sparse restricted perceptions equilibrium," Journal of Economic Dynamics and Control, Elsevier, vol. 139(C).
  15. Agustín Arias, 2016. "Sentiment Shocks as Drivers of Business Cycles," Working Papers Central Bank of Chile 782, Central Bank of Chile.
  16. Jeffrey C. Fuhrer, 2018. "Intrinsic expectations persistence: evidence from professional and household survey expectations," Working Papers 18-9, Federal Reserve Bank of Boston.
  17. Vázquez, Jesús & Aguilar, Pablo, 2021. "Adaptive learning with term structure information," European Economic Review, Elsevier, vol. 134(C).
  18. De Grauwe, Paul & Macchiarelli, Corrado, 2015. "Animal spirits and credit cycles," Journal of Economic Dynamics and Control, Elsevier, vol. 59(C), pages 95-117.
  19. Sylvain Leduc & Kevin Moran & Robert J. Vigfusson, 2023. "Learning in the Oil Futures Markets: Evidence and Macroeconomic Implications," The Review of Economics and Statistics, MIT Press, vol. 105(2), pages 392-407, March.
  20. Cogley, Timothy & Matthes, Christian & Sbordone, Argia M., 2015. "Optimized Taylor rules for disinflation when agents are learning," Journal of Monetary Economics, Elsevier, vol. 72(C), pages 131-147.
  21. Winkler, Fabian, 2020. "The role of learning for asset prices and business cycles," Journal of Monetary Economics, Elsevier, vol. 114(C), pages 42-58.
  22. Volha Audzei & Sergey Slobodyan, 2024. "Dynamic Sparse Restricted Perceptions Equilibria," CERGE-EI Working Papers wp792, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
  23. Kuang, Pei & Mitra, Kaushik, 2016. "Long-run growth uncertainty," Journal of Monetary Economics, Elsevier, vol. 79(C), pages 67-80.
  24. Pablo Aguilar, 2020. "Inflation persistence in the euro area: the role of expectations," Economic Bulletin, Banco de España, issue 4/2020.
  25. Michael Hatcher & Patrick Minford, 2016. "Stabilisation Policy, Rational Expectations And Price-Level Versus Inflation Targeting: A Survey," Journal of Economic Surveys, Wiley Blackwell, vol. 30(2), pages 327-355, April.
  26. Leonid Serkov & Sergey Krasnykh, 2023. "Peculiarity of Behavior of Economic Agents under Cognitive Constraints in a Semi-Open New Keynesian Model," Mathematics, MDPI, vol. 12(1), pages 1-22, December.
  27. Moran, Kevin & Nono, Simplice Aimé, 2018. "Gradual learning about shocks and the forward premium puzzle," Journal of International Money and Finance, Elsevier, vol. 88(C), pages 79-100.
  28. Volha Audzei, 2022. "Confidence Cycles and Liquidity Hoarding," International Journal of Central Banking, International Journal of Central Banking, vol. 18(3), pages 281-320, September.
  29. F. Di Pace & K. Mitra & S. Zhang, 2021. "Adaptive Learning and Labor Market Dynamics," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 53(2-3), pages 441-475, March.
  30. Warne, Anders, 2023. "DSGE model forecasting: rational expectations vs. adaptive learning," Working Paper Series 2768, European Central Bank.
  31. Evans, George W. & McGough, Bruce, 2020. "Equilibrium stability in a nonlinear cobweb model," Economics Letters, Elsevier, vol. 193(C).
  32. Marine Charlotte André & Meixing Dai, 2015. "Central bank accountability under adaptive learning," Working Papers of BETA 2015-32, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg.
  33. Greta Meggiorini & Fabio Milani, 2021. "Behavioral New Keynesian Models: Learning vs. Cognitive Discounting," Working Papers 202103, University of California-Irvine, Department of Economics.
  34. Norman, Thomas W.L., 2015. "Learning, hypothesis testing, and rational-expectations equilibrium," Games and Economic Behavior, Elsevier, vol. 90(C), pages 93-105.
  35. Dizioli, Allan & Wang, Hou, 2024. "How do adaptive learning expectations rationalize stronger monetary policy response in Brazil?," Latin American Journal of Central Banking (previously Monetaria), Elsevier, vol. 5(1).
  36. Cole, Stephen J. & Milani, Fabio, 2021. "Heterogeneity in individual expectations, sentiment, and constant-gain learning," Journal of Economic Behavior & Organization, Elsevier, vol. 188(C), pages 627-650.
  37. Alexeeva, Tatyana A. & Kuznetsov, Nikolay V. & Mokaev, Timur N., 2021. "Study of irregular dynamics in an economic model: attractor localization and Lyapunov exponents," Chaos, Solitons & Fractals, Elsevier, vol. 152(C).
  38. Berardi, Michele & Galimberti, Jaqueson K., 2017. "On the initialization of adaptive learning in macroeconomic models," Journal of Economic Dynamics and Control, Elsevier, vol. 78(C), pages 26-53.
  39. Artur Sharafutdinov, 2023. "Forecasting Russian GDP, Inflation, Interest Rate, and Exchange Rate Using DSGE-VAR Model," Russian Journal of Money and Finance, Bank of Russia, vol. 82(3), pages 62-86, September.
  40. Milani, Fabio, 2017. "Sentiment and the U.S. business cycle," Journal of Economic Dynamics and Control, Elsevier, vol. 82(C), pages 289-311.
  41. Fabio Milani, 2012. "The Modeling of Expectations in Empirical DSGE Models: A Survey," Advances in Econometrics, in: DSGE Models in Macroeconomics: Estimation, Evaluation, and New Developments, pages 3-38, Emerald Group Publishing Limited.
  42. Goy, Gavin & Hommes, Cars & Mavromatis, Kostas, 2022. "Forward guidance and the role of central bank credibility under heterogeneous beliefs," Journal of Economic Behavior & Organization, Elsevier, vol. 200(C), pages 1240-1274.
  43. Michael Woodford, 2019. "Monetary Policy Analysis When Planning Horizons Are Finite," NBER Macroeconomics Annual, University of Chicago Press, vol. 33(1), pages 1-50.
  44. Holtemöller, Oliver & Schult, Christoph, 2018. "Expectation formation, financial frictions, and forecasting performance of dynamic stochastic general equilibrium models," IWH Discussion Papers 15/2018, Halle Institute for Economic Research (IWH).
  45. Pedro Henrique Alves Pereira, 2025. "Optimal Inflation Targeting," Working Papers Series 623, Central Bank of Brazil, Research Department.
  46. Hagenhoff, Tim & Lustenhouwer, Joep, 2020. "The role of stickiness, extrapolation and past consensus forecasts in macroeconomic expectations," BERG Working Paper Series 163, Bamberg University, Bamberg Economic Research Group.
  47. Bonam, Dennis & Goy, Gavin, 2019. "Home biased expectations and macroeconomic imbalances in a monetary union," Journal of Economic Dynamics and Control, Elsevier, vol. 103(C), pages 25-42.
  48. Jeffrey C. Fuhrer, 2015. "Expectations as a source of macroeconomic persistence: an exploration of firms' and households' expectation formation," Working Papers 15-5, Federal Reserve Bank of Boston.
  49. Fuhrer, Jeff, 2017. "Expectations as a source of macroeconomic persistence: Evidence from survey expectations in a dynamic macro model," Journal of Monetary Economics, Elsevier, vol. 86(C), pages 22-35.
  50. Rychalovska, Yuliya, 2016. "The implications of financial frictions and imperfect knowledge in the estimated DSGE model of the U.S. economy," Journal of Economic Dynamics and Control, Elsevier, vol. 73(C), pages 259-282.
  51. Gobbi, Lucio & Mazzocchi, Ronny & Tamborini, Roberto, 2019. "Monetary policy, de-anchoring of inflation expectations, and the “new normal”," Journal of Macroeconomics, Elsevier, vol. 61(C), pages 1-1.
  52. Leonid A. Serkov, 2023. "Effect of sticky Wages on the Behavior of Economic Agents with Heterogeneous Expectations," Journal of Applied Economic Research, Graduate School of Economics and Management, Ural Federal University, vol. 22(2), pages 450-473.
  53. Lustenhouwer, Joep, 2020. "Fiscal Stimulus In Expectations-Driven Liquidity Traps," Working Papers 0683, University of Heidelberg, Department of Economics.
  54. Ina Hajdini, 2022. "Mis-specified Forecasts and Myopia in an Estimated New Keynesian Model," Working Papers 22-03R, Federal Reserve Bank of Cleveland, revised 06 Mar 2023.
  55. Yuliya Rychalovska & Sergey Slobodyan & Rafael Wouters, 2023. "Professional Survey Forecasts and Expectations in DSGE Models," CERGE-EI Working Papers wp766, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
  56. F. Di Pace & K. Mitra & S. Zhang, 2021. "Adaptive Learning and Labor Market Dynamics," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 53(2-3), pages 441-475, March.
  57. Hagenhoff, Tim & Lustenhouwer, Joep, 2023. "The role of stickiness, extrapolation and past consensus forecasts in macroeconomic expectations," Journal of Economic Dynamics and Control, Elsevier, vol. 149(C).
  58. André, Marine Charlotte & Dai, Meixing, 2017. "Is central bank conservatism desirable under learning?," Economic Modelling, Elsevier, vol. 60(C), pages 281-296.
  59. Ascari, Guido & Mavroeidis, Sophocles & McClung, Nigel, 2023. "Coherence without rationality at the zero lower bound," Journal of Economic Theory, Elsevier, vol. 214(C).
  60. Hommes, C.H. & Zhu, M., 2016. "Behavioral Learning Equilibria, Persistence Amplification & Monetary Policy," CeNDEF Working Papers 16-03, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  61. Pablo Aguilar, 2021. "Consumption recovery in 2021: an analysis drawing on consumer expectations," Economic Bulletin, Banco de España, issue 3/2021.
  62. Aguirre, Idoia & Vázquez, Jesús, 2020. "Learning, parameter variability, and swings in US macroeconomic dynamics," Journal of Macroeconomics, Elsevier, vol. 66(C).
  63. Richard K. Crump & Stefano Eusepi & Emanuel Moench & Bruce Preston, 2025. "How Do We Learn About the Long Run?," Staff Reports 1150, Federal Reserve Bank of New York.
  64. Pablo Aguilar & Jesús Vázquez, 2015. "The role of term structure in an estimated DSGE model with learning," LIDAM Discussion Papers IRES 2015007, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
  65. Gelain, Paolo & Iskrev, Nikolay & J. Lansing, Kevin & Mendicino, Caterina, 2019. "Inflation dynamics and adaptive expectations in an estimated DSGE model," Journal of Macroeconomics, Elsevier, vol. 59(C), pages 258-277.
  66. Hommes, Cars, 2018. "Behavioral & experimental macroeconomics and policy analysis: a complex systems approach," Working Paper Series 2201, European Central Bank.
  67. Lustenhouwer, Joep, 2020. "Fiscal stimulus in expectations-driven liquidity traps," Journal of Economic Behavior & Organization, Elsevier, vol. 177(C), pages 661-687.
  68. Pablo Aguilar & Luca Pensieroso, 2022. "Learning the Hard Way: Expectations and the U.S. Great Depression," LIDAM Discussion Papers IRES 2022004, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
  69. Tortorice, Daniel L, 2018. "The business cycle implications of fluctuating long run expectations," Journal of Macroeconomics, Elsevier, vol. 58(C), pages 266-291.
  70. Karel Musil & Stanislav Tvrz & Jan Vlcek, 2021. "News versus Surprise in Structural Forecasting Models: Central Bankers' Practical Perspective," Research and Policy Notes 2021/02, Czech National Bank, Research and Statistics Department.
  71. Evans, George W. & McGough, Bruce, 2020. "Stable near-rational sunspot equilibria," Journal of Economic Theory, Elsevier, vol. 186(C).
  72. Gelfer, Sacha, 2020. "The effects of professional forecast dissemination on macroeconomic volatility," Journal of Economic Behavior & Organization, Elsevier, vol. 170(C), pages 131-156.
  73. Darracq Pariès, Matthieu & Notarpietro, Alessandro & Kilponen, Juha & Papadopoulou, Niki & Zimic, Srečko & Aldama, Pierre & Langenus, Geert & Alvarez, Luis Julian & Lemoine, Matthieu & Angelini, Elena, 2021. "Review of macroeconomic modelling in the Eurosystem: current practices and scope for improvement," Occasional Paper Series 267, European Central Bank.
  74. Chevillon, Guillaume & Mavroeidis, Sophocles, 2018. "Perpetual learning and apparent long memory," Journal of Economic Dynamics and Control, Elsevier, vol. 90(C), pages 343-365.
  75. Hagenhoff, Tim & Lustenhouwer, Joep, 2020. "The role of stickiness, extrapolation and past consensus forecasts in macroeconomic expectations," Working Papers 0686, University of Heidelberg, Department of Economics.
  76. Alexeeva, Tatyana & Diep, Quoc Bao & Kuznetsov, Nikolay & Zelinka, Ivan, 2023. "Forecasting and stabilizing chaotic regimes in two macroeconomic models via artificial intelligence technologies and control methods," Chaos, Solitons & Fractals, Elsevier, vol. 170(C).
  77. Gene Ambrocio, 2020. "Rational exuberance booms," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 35, pages 263-282, January.
  78. Ciccarelli, Matteo & Darracq Pariès, Matthieu & Priftis, Romanos & Angelini, Elena & Bańbura, Marta & Bokan, Nikola & Fagan, Gabriel & Gumiel, José Emilio & Kornprobst, Antoine & Lalik, Magdalena & Mo, 2024. "ECB macroeconometric models for forecasting and policy analysis," Occasional Paper Series 344, European Central Bank.
  79. Pablo Aguilar & Jesús Vázquez, 2018. "Term structure and real-time learning," Working Papers 1803, Banco de España.
  80. Gavin Goy & Cars Homme & Kostas Mavromatis, 2018. "Forward Guidance and the Role of Central Bank Credibility," DNB Working Papers 614, Netherlands Central Bank, Research Department.
  81. Miura, Shogo, 2023. "Households’ assets, sentiment shocks and business cycles," Economic Modelling, Elsevier, vol. 118(C).
  82. Evans, George W. & Mitra, Kaushik, 2013. "E-stability in the stochastic Ramsey model," Economics Letters, Elsevier, vol. 118(2), pages 407-410.
  83. Evans, David & Evans, George W. & McGough, Bruce, 2022. "Bounded rationality and unemployment dynamics," Economics Letters, Elsevier, vol. 210(C).
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