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Conditions for Unique Solutions in Stochastic Macroeconomic Models with Rational Expectations

Citations

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Cited by:

  1. Krebs, Tom, 1997. "Statistical Equilibrium in One-Step Forward Looking Economic Models," Journal of Economic Theory, Elsevier, vol. 73(2), pages 365-394, April.
  2. Patrick Minford & Naveen Srinivasan, 2011. "Determinacy in New Keynesian Models: A Role for Money after All?," International Finance, Wiley Blackwell, vol. 14(2), pages 211-229, June.
  3. Behzad T. Diba & Herschel I. Grossman, 1983. "Rational Asset Price Bubbles," NBER Working Papers 1059, National Bureau of Economic Research, Inc.
  4. Mordecai Kurz, 2015. "Stabilizing Wage Policy," Discussion Papers 15-007, Stanford Institute for Economic Policy Research.
  5. Bernard Walliser, 1982. "Equilibres et anticipations," Revue Économique, Programme National Persée, vol. 33(4), pages 594-638.
  6. Jess Benhabib & Stephanie Schmitt-Grohe & Martin Uribe, 2003. "Backward-looking interest-rate rules, interest-rate smoothing, and macroeconomic instability," Proceedings, Federal Reserve Bank of Cleveland, pages 1379-1423.
  7. Ariane Szafarz, 2015. "Market Efficiency and Crises:Don’t Throw the Baby out with the Bathwater," Bankers, Markets & Investors, ESKA Publishing, issue 139, pages 20-26, November-.
  8. Bennett T. McCallum, 2000. "Role of the Minimal State Variable Criterion," NBER Working Papers 7087, National Bureau of Economic Research, Inc.
  9. Jonathan Eaton & Stephen J. Turnovsky, 1984. "The Forward Exchange Market, Speculation, and Exchange Market Intervention," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 99(1), pages 45-69.
  10. Eran Guse, 2004. "Learning with Heterogeneous Expectations in an Evolutionary World," Computing in Economics and Finance 2004 99, Society for Computational Economics.
  11. Patrick Minford & Naveen Srinivasan, 2015. "Can the Learnability Criterion Ensure Determinacy in New Keynesian Models?," South Asian Journal of Macroeconomics and Public Finance, , vol. 4(1), pages 43-61, June.
  12. Stephen J. Turnovsky, 2011. "Stabilization Theory and Policy: 50 Years after the Phillips Curve," Economica, London School of Economics and Political Science, vol. 78(309), pages 67-88, January.
  13. Pei Kuang, 2014. "Learning Dynamics with Data (Quasi-) Differencing," Discussion Papers 15-06, Department of Economics, University of Birmingham.
  14. Thomas Lubik & Christian Matthes & Elmar Mertens, 2023. "Indeterminacy and Imperfect Information," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 49, pages 37-57, July.
  15. Lianfeng Song & Hongxia Wang & Huanshui Zhang & Hongdan Li, 2023. "Rational Expectations Models with Multiplicative Noise," Journal of Optimization Theory and Applications, Springer, vol. 199(1), pages 233-257, October.
  16. Guse, Eran A., 2010. "Heterogeneous expectations, adaptive learning, and evolutionary dynamics," Journal of Economic Behavior & Organization, Elsevier, vol. 74(1-2), pages 42-57, May.
  17. Patricio Mujica, 1988. "Políticas de Tipo de Cambio: Un Modelo de Tres Países," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 25(75), pages 197-214.
  18. Marco M. Sorge, 2013. "A Note on Information Flows and Identification of News Shocks Models," Journal of Economics and Econometrics, Economics and Econometrics Society, vol. 56(1), pages 28-38.
  19. Matthew B. Canzoneri, 1980. "Wealth effects in the new neoclassical models," International Finance Discussion Papers 158, Board of Governors of the Federal Reserve System (U.S.).
  20. Lin, Yo-Long, 2017. "Is the price path learnable under a fixed exchange rate regime?," International Review of Economics & Finance, Elsevier, vol. 48(C), pages 355-366.
  21. repec:wvu:wpaper:09-01 is not listed on IDEAS
  22. Marco Maria Sorge, 2010. "A note on Kalman filter approach to solution of rational expectations models," Economics Bulletin, AccessEcon, vol. 30(3), pages 2002-2009.
  23. Guido Ascari & Paolo Bonomolo Hedibert F. Lopes, 2016. "Rational Sunspots," Economics Series Working Papers 787, University of Oxford, Department of Economics.
  24. Suneetha M. S., 2014. "Perspectives on Valuation of Biodiversity," Working Papers 2014-088, Madras School of Economics,Chennai,India.
  25. Obstfeld, Maurice & Rogoff, Kenneth, 1983. "Speculative Hyperinflations in Maximizing Models: Can We Rule Them Out?," Journal of Political Economy, University of Chicago Press, vol. 91(4), pages 675-687, August.
  26. Laurence Broze & Ariane Szafarz, 1985. "Solutions des modèles linéaires à anticipations rationnelles," ULB Institutional Repository 2013/679, ULB -- Universite Libre de Bruxelles.
  27. Buiter, Willem H. & Eaton, Jonathan, "undated". "Policy Decentralization And Exchange Rate Management In Interdependent Economies," Economic Research Papers 269070, University of Warwick - Department of Economics.
  28. Turnovsky, Stephen J., 1984. "Exchange market intervention under alternative forms of exogenous disturbances," Journal of International Economics, Elsevier, vol. 17(3-4), pages 279-297, November.
  29. Willem H. Buiter, 1979. "Feedback and the Use of Current Information: The Use of General Linear Policy Rules in Rational Expectations Models," NBER Working Papers 0335, National Bureau of Economic Research, Inc.
  30. Olivier Loisel, 2004. "Monetary policy rules to preclude booms and busts," Money Macro and Finance (MMF) Research Group Conference 2003 56, Money Macro and Finance Research Group.
  31. repec:wvu:wpaper:11-01 is not listed on IDEAS
  32. Jr., Luiz R. de Mello & Carneiro, Francisco G., 2000. "Consumption Behaviour and Persistently High Inflation: Evidence from Latin America," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 54(2), April.
  33. McCallum, Bennett T., 1999. "Issues in the design of monetary policy rules," Handbook of Macroeconomics, in: J. B. Taylor & M. Woodford (ed.), Handbook of Macroeconomics, edition 1, volume 1, chapter 23, pages 1483-1530, Elsevier.
  34. Richard Dennis & Tatiana Kirsanova, 2010. "Expectations traps and coordination failures: selecting among multiple discretionary equilibria," Working Paper Series 2010-02, Federal Reserve Bank of San Francisco.
  35. Stephanie Schmitt-Grohe & Jess Benhabib & Martin Uribe, 2001. "Monetary Policy and Multiple Equilibria," American Economic Review, American Economic Association, vol. 91(1), pages 167-186, March.
  36. Joseph E. Gagnon & Dale W. Henderson, 1990. "Nominal interest rate pegging under alternative expectations hypotheses," Proceedings, Board of Governors of the Federal Reserve System (U.S.), pages 438-473.
  37. Kenneth J. Singleton, 1986. "Asset Prices in a Time Series Model with Disparately Informed, Competative Traders," NBER Working Papers 1897, National Bureau of Economic Research, Inc.
  38. Fischer, Stanley & Merton, Robert C., 1984. "Macroeconomics and finance: The role of the stock market," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 21(1), pages 57-108, January.
  39. Guse, Eran A., 2004. "Expectational business cycles," Bank of Finland Research Discussion Papers 19/2004, Bank of Finland.
  40. Peter A. Zadrozny, 2022. "Linear Identification of Linear Rational-Expectations Models by Exogenous Variables Reconciles Lucas and Sims," CESifo Working Paper Series 10078, CESifo.
  41. Ariane Szafarz, 2009. "How Did Financial-Crisis-Based Criticisms of Market Efficiency Get It So Wrong?," Working Papers CEB 09-048.RS, ULB -- Universite Libre de Bruxelles.
  42. Jääskelä, Jarkko P. & Kulish, Mariano, 2010. "The butterfly effect of small open economies," Journal of Economic Dynamics and Control, Elsevier, vol. 34(7), pages 1295-1304, July.
  43. Francesco Carravetta & Marco Sorge, 2010. "A “Nearly Ideal” Solution to Linear Time-Varying Rational Expectations Models," Computational Economics, Springer;Society for Computational Economics, vol. 35(4), pages 331-353, April.
  44. Fair, Ray C & Taylor, John B, 1983. "Solution and Maximum Likelihood Estimation of Dynamic Nonlinear Rational Expectations Models," Econometrica, Econometric Society, vol. 51(4), pages 1169-1185, July.
  45. Michael Mussa, 1984. "Rational Expectations Models with a Continuum of Convergent Solutions," NBER Technical Working Papers 0041, National Bureau of Economic Research, Inc.
  46. John G. Thistle, 2018. "The Origin and the Resolution of Nonuniqueness in Linear Rational Expectations," Papers 1806.06657, arXiv.org, revised Apr 2019.
  47. McCallum, Bennett T., 1983. "On non-uniqueness in rational expectations models : An attempt at perspective," Journal of Monetary Economics, Elsevier, vol. 11(2), pages 139-168.
  48. Moore, Kevin Clare, 1985. "Predictive econometric modeling of the United States farmland market: an empirical test of the rational expectations hypothesis," ISU General Staff Papers 198501010800008872, Iowa State University, Department of Economics.
  49. Eran Guse, 2004. "Expectational Business Cycles," Money Macro and Finance (MMF) Research Group Conference 2004 97, Money Macro and Finance Research Group.
  50. Broze, Laurence & Gourieroux Christian & Szafarz A, 1986. "Reduction and identification of simultaneous equations models with rational expectations," CEPREMAP Working Papers (Couverture Orange) 8601, CEPREMAP.
  51. Drazen, Allan, 1985. "A Rational Expectations Keynesian Model with Price Flexibility," Foerder Institute for Economic Research Working Papers 275386, Tel-Aviv University > Foerder Institute for Economic Research.
  52. Philippe Ithurbide, 1987. "Le marché de l’or et les bulles rationnelles," L'Actualité Economique, Société Canadienne de Science Economique, vol. 63(4), pages 331-356.
  53. Canzoneri, Matthew B., 1983. "Rational destabilizing speculation and exchange intervention policy," Journal of Macroeconomics, Elsevier, vol. 5(1), pages 75-90.
  54. Bennett McCallum, 1999. "Role of the Minimal State Variable Criterion in Rational Expectations Models," International Tax and Public Finance, Springer;International Institute of Public Finance, vol. 6(4), pages 621-639, November.
  55. Robert J. Barro, 1983. "Inflationary Finance under Discretion and Rules," Canadian Journal of Economics, Canadian Economics Association, vol. 16(1), pages 1-16, February.
  56. Erwin W. Heri, 1986. "Irrationales rational gesehen: Eine Übersicht über die Theorie der "Bubbles"," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 122(2), pages 163-186, June.
  57. Roger J. Bowden, 1990. "Predictive Disequilibria and the Short Run Dynamics of Asset Prices," Australian Journal of Management, Australian School of Business, vol. 15(1), pages 65-87, June.
  58. McCallum, Bennett T., 2001. "Indeterminacy, bubbles, and the fiscal theory of price level determination," Journal of Monetary Economics, Elsevier, vol. 47(1), pages 19-30, February.
  59. Fernando Fernandez-Rodriguez & Maria-Dolores Garcia-Artiles & Juan Manuel Martin-Gonzalez, 2002. "A model of speculative behaviour with a strange attractor," Applied Mathematical Finance, Taylor & Francis Journals, vol. 9(3), pages 143-161.
  60. Bennett T. McCallum, 2012. "A Continuity Refinement for Rational Expectations Solutions," NBER Working Papers 18323, National Bureau of Economic Research, Inc.
  61. GEORGE W. EVANS & BRUCE McGOUGH, 2007. "Optimal Constrained Interest-Rate Rules," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(6), pages 1335-1356, September.
  62. Eran Guse, 2004. "Expectational Business Cycles," Money Macro and Finance (MMF) Research Group Conference 2004 97, Money Macro and Finance Research Group.
  63. Olivier J. Blanchard, 1983. "Methods of Solution and Simulation for Dynamic Rational Expectations Models," NBER Technical Working Papers 0028, National Bureau of Economic Research, Inc.
  64. Guse, Eran A., 2005. "Stability properties for learning with heterogeneous expectations and multiple equilibria," Journal of Economic Dynamics and Control, Elsevier, vol. 29(10), pages 1623-1642, October.
  65. Guse, Eran A., 2014. "Adaptive learning, endogenous uncertainty, and asymmetric dynamics," Journal of Economic Dynamics and Control, Elsevier, vol. 40(C), pages 355-373.
  66. Roger E. A. Farmer, 1991. "The Lucas Critique, Policy Invariance and Multiple Equilibria," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 58(2), pages 321-332.
  67. Robert P. Flood & Robert J. Hodrick, 1989. "Testable Implications of Indeterminacies in Models with Rational Expectations," NBER Working Papers 2903, National Bureau of Economic Research, Inc.
  68. Guillermo A. Calvo, 1983. "Staggered Contracts and Exchange Rate Policy," NBER Chapters, in: Exchange Rates and International Macroeconomics, pages 235-258, National Bureau of Economic Research, Inc.
  69. Driskill, Robert, 2006. "Multiple equilibria in dynamic rational expectations models: A critical review," European Economic Review, Elsevier, vol. 50(1), pages 171-210, January.
  70. Gourieroux, C. & Jasiak, J. & Monfort, A., 2020. "Stationary bubble equilibria in rational expectation models," Journal of Econometrics, Elsevier, vol. 218(2), pages 714-735.
  71. Jess Benhabib & Stephanie Schmitt-Grohe & Martin Uribe, 2004. "Chaotic Interest Rate Rules: Expanded Version," NBER Working Papers 10272, National Bureau of Economic Research, Inc.
  72. Guido Ascari & Paolo Bonomolo & Hedibert Lopes, 2018. "Walk on the wild side: Multiplicative sunspots and temporarily unstable paths," DNB Working Papers 597, Netherlands Central Bank, Research Department.
  73. Kollmann, Robert, 2020. "Rational Bubbles in Non-Linear Business Cycle Models: Closed and Open Economies," CEPR Discussion Papers 14367, Centre for Economic Policy Research.
  74. John B. Taylor, 1983. "Rational Expectations Models in Macroeconomics," NBER Working Papers 1224, National Bureau of Economic Research, Inc.
  75. Thomas J. Sargent & Neil Wallace, 1985. "Identification and estimation of a model of hyperinflation with a continuum of "sunspot" equilibrium," Working Papers 280, Federal Reserve Bank of Minneapolis.
  76. Papell, David H, 1986. "Exchange Rate and Current Account Dynamics under Rational Expectations: An Econometric Analysis," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 27(3), pages 583-600, October.
  77. Zhao, Mingjun, 2007. "Monetary policy under misspecified expectations," Journal of Economic Dynamics and Control, Elsevier, vol. 31(4), pages 1278-1299, April.
  78. Majid M. Al-Sadoon, 2020. "The Spectral Approach to Linear Rational Expectations Models," Papers 2007.13804, arXiv.org, revised Aug 2024.
  79. Chryssi Giannitsarou, 2003. "Heterogeneous Learning," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 6(4), pages 885-906, October.
  80. Raul J. Crespo, 2025. "Hyperinflation and Explosive Behaviour in the General Price Level," Bristol Economics Discussion Papers 25/785, School of Economics, University of Bristol, UK.
  81. Jess Benhabib & Stephanie Schmitt-Grohé & Martín Uribe, 2002. "Chaotic Interest-Rate Rules," American Economic Review, American Economic Association, vol. 92(2), pages 72-78, May.
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