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!
__Rational Expectations in Macroeconomic Models__ 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.
__Rational Expectations in Macroeconomic Models__ 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.

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nexusstc/Rational Expectations in Macroeconomic Models/e4bbd4c737717b74de0a0413bdd3f108.pdf

zlib/Mathematics/Paul Fisher/Rational Expectations in Macroeconomic Models_2128866.pdf

Fisher, P.

Springer Science + Business Media BV

Kluwer

Advanced studies in theoretical and applied econometrics, 26, Dordrecht, 2011

Advanced studies in theoretical and applied econometrics, 26, Dordrecht, 1992

Softcover reprint of hardcover 1st ed. 1992, 2010

Springer Nature, Dordrecht, 2013

Dordrecht, 2010

lg974946

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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 'sRational 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! Rational Expectations in Macroeconomic Models 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. Rational Expectations in Macroeconomic Models 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

Front Matter....Pages i-viii
Introduction....Pages 1-4
Large-Scale Macroeconomic Models and Forward Expectations....Pages 5-35
Solution Methods for Nonlinear Forward Expectations Models....Pages 37-72
Terminal Conditions, Uniqueness and Stability....Pages 73-109
Experimental Design....Pages 111-146
The Role of the Exchange Rate....Pages 147-165
Optimal Control and Inflation-Unemployment Trade-Offs....Pages 167-195
Conclusion....Pages 197-199
Bibliography....Pages 201-211
Back Matter....Pages 211-214

Advanced Studies in Theoretical and Applied Econometrics
Erscheinungsdatum: 03.12.2010

2013-08-01