Fisher Rational Expectations in Macroeconomic Models

1992
ISBN: 978-94-015-8002-1
Verlag: Springer Netherland
Format: PDF
Kopierschutz: 1 - PDF Watermark

E-Book, Englisch, Band 26, 211 Seiten, eBook

Reihe: Advanced Studies in Theoretical and Applied Econometrics

It is commonly believed that macroeconomic models are not useful for policy analysis because they do not take proper account of agents' expectations. Over the last decade, mainstream macroeconomic models in the UK and elsewhere have taken on board the `Rational Expectations Revolution' by explicitly incorporating expectations of the future. In principle, one can perform the same technical exercises on a forward expectations model as on a conventional model -- and more!
deals with the numerical methods necessary to carry out policy analysis and forecasting with these models. These methods are often passed on by word of mouth or confined to obscure journals.
brings them together with applications which are interesting in their own right. There is no comparable textbook in the literature.
The specific subjects include: (i) solving for model consistent expectations; (ii) the choice of terminal condition and time horizon; (iii) experimental design: i.e., the effect of temporary vs permanent, anticipated vs. unanticipated shocks; deterministic vs. stochastic, dynamic vs. static simulation; (iv) the role of exchange rate; (v) optimal control and inflation-output tradeoffs. The models used are those of the Liverpool Research Group in Macroeconomics, the London Business School and the National Institute of Economic and Social Research.

Zielgruppe

Research

Autoren/Hrsg.

Fisher, P.

Inhaltsverzeichnis

Summary. Abbreviations. 1. Introduction. 2. Large Scale Macroeconomic Models and Forward Expectations. 3. Solution Methods for Nonlinear Forward Expectation Models. 4. Terminal Conditions, Uniqueness and Stability. 5. Experimental Design and Stochastic Simulation. 6. Alternative Model Forms and Solution Modes: Historical Tracking. 7. Control and Policy Analysis: Experimental Design. 8. Conclusions. 9. Bibliography. Appendix: Model Vintages.