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Learning in DSGE macroeconomics; Aprendizado em macroeconomia DSGE

Velecico, Igor
Fonte: Biblioteca Digitais de Teses e Dissertações da USP Publicador: Biblioteca Digitais de Teses e Dissertações da USP
Tipo: Tese de Doutorado Formato: application/pdf
Publicado em 22/11/2013 Português
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In this thesis we analyze learning mechanisms applied to a variety of macroeconomic models. In the first chapter, we present and discuss the advantages and limitations of estimating Dynamic Stochastic General Equilibrium (DSGE) models added with learning, thus suppressing the central assumption of rational expectations. First, we introduce the reader on how learning can be inserted in those models, starting from the discussion of where and how the rational expectations operator is substituted by the learning mechanism. We then present several additional learning setups related to the information set available to agents considered by the literature, which affect directly the dynamics of the final model. Last, we estimate three different models to assess the advantages of learning in our artificially generated data and real data for Brazil. In the second chapter, we algebraically show the limitations of learning and propose two flexible methods to deal with the parameter instability in data. The first of these methods is closely related to the DSGE-VAR methodology, which we call Learning DSGE-VAR, and the second, which departs even further from the DSGE model, which we call Learning Minimum State Variable, or LMSV. Finally, in the third chapter we provide evidences that the supposedly moderate improvements found in the previous chapters have more to do with the nature of the model at hand than to the learning method itself. To do so...

An Autoregressive Conditional Filtering Process to remove Intraday Seasonal Volatility and its Application to Testing the Noisy Rational Expectations Model

Cho, Jang Hyung
Fonte: FIU Digital Commons Publicador: FIU Digital Commons
Tipo: Artigo de Revista Científica Formato: application/pdf
Português
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We develop a new autoregressive conditional process to capture both the changes and the persistency of the intraday seasonal (U-shape) pattern of volatility in essay 1. Unlike other procedures, this approach allows for the intraday volatility pattern to change over time without the filtering process injecting a spurious pattern of noise into the filtered series. We show that prior deterministic filtering procedures are special cases of the autoregressive conditional filtering process presented here. Lagrange multiplier tests prove that the stochastic seasonal variance component is statistically significant. Specification tests using the correlogram and cross-spectral analyses prove the reliability of the autoregressive conditional filtering process. In essay 2 we develop a new methodology to decompose return variance in order to examine the informativeness embedded in the return series. The variance is decomposed into the information arrival component and the noise factor component. This decomposition methodology differs from previous studies in that both the informational variance and the noise variance are time-varying. Furthermore, the covariance of the informational component and the noisy component is no longer restricted to be zero. The resultant measure of price informativeness is defined as the informational variance divided by the total variance of the returns. The noisy rational expectations model predicts that uninformed traders react to price changes more than informed traders...

On Forecasting Heterogeneity, Irrational Exuberance, and the Multiplicity of Rational Expectations Equilibria

Weder, M.
Fonte: Springer-Verlag Wien Publicador: Springer-Verlag Wien
Tipo: Artigo de Revista Científica
Publicado em //2002 Português
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This paper evaluates the role of limited rationality in an equilibrium model with indeterminacy of rational expectations. We assume a world in which a fraction of agents makes predictions via rational expectations and the other fraction follows simple rule-of-thumb schemes. For all considered cases, the co-presence of naive agents tends to reduce the possibility of sunspot equilibria. We also consider the case that some agents are systematically exuberant. Under this scenario, the effect of naive agents is reversed: bullishness may in fact destabilize markets.

Near-rational expectations in animal spirits models of aggregate fluctuations

Weder, M.
Fonte: Elsevier Science BV Publicador: Elsevier Science BV
Tipo: Artigo de Revista Científica
Publicado em //2004 Português
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A growing number of studies has raised concerns about the empirical and theoretical content of rational expectations. This paper evaluates the role of near-rationality in dynamic general equilibrium with indeterminacy. We show that sunspot equilibria are quite robust to perturbations of the forecasting mechanism: the particular form of near-rationality considered exerts little effects on the region of indeterminacy. This upshot casts doubt upon the standpoint that bounded rationality effectively reduces the likelihood of sunspot equilibria. The prime impact of bounded behavior appears to be on volatility and persistence.; Elsevier

Testing Exact Rational Expectations in Cointegrated Vector Autoregressive Models

JOHANSEN, Soren; SWENSEN, Anders Rygh
Fonte: Instituto Universitário Europeu Publicador: Instituto Universitário Europeu
Tipo: Artigo de Revista Científica
Português
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This paper considers the testing of restrictions implied by rational expectations hypotheses in a cointegrated vector autoregressive model for I(1) variables. If the rational expectations involve one-step-ahead observations only and the coefficients are known, an explicit parameterization of the restrictions is found, and the maximum-likelihood estimator is derived by regression and reduced rank regression. An application is given to a present value model.

Rational Expectations and the Quantification of Survey Data: the Role of Measurement Error

NARDO Michela; CABEZA GUTES Maite
Fonte: P. Rajalakshmi, Bangalore 560040 ISSN: 0971-8281 Publicador: P. Rajalakshmi, Bangalore 560040 ISSN: 0971-8281
Tipo: Articles in periodicals and books Formato: Printed
Português
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Qualitative survey data are often quantified and used to test expectation formation schemes and to approximate actual economic variables. However, these figures are proxies of agents¿ true expectations, so their use implies a measurement error. We construct a simulation experiment to test the performance of different quantification methods. We study the nature and the size of the error and try to derive some conclusions on which of the quantification methods is more suitable for testing the rational expectations hypothesis and for approximating actual series.; JRC.G.3-Econometrics and applied statistics

Initial Expectations in New Keynesian Models with Learning

Murray, James
Fonte: Center for Applied Economics and Policy Research Publicador: Center for Applied Economics and Policy Research
Tipo: Trabalho em Andamento Formato: 837719 bytes; application/pdf
Português
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This paper examines how the estimation results for a standard New Keynesian model with constant gain least squares learning is sensitive to the stance taken on agents beliefs at the beginning of the sample. The New Keynesian model is estimated under rational expectations and under learning with three different frameworks for how expectations are set at the beginning of the sample. The results show that initial beliefs can have an impact on the predictions of an estimated model; in fact previous literature has exposed this sensitivity to explain the changing volatilities of output and inflation in the post-war United States. The results indicate statistical evidence for adaptive learning, however the rational expectations framework performs at least as well as the learning frameworks, if not better, in in-sample and out-of-sample forecast error criteria. Moreover, learning is not found to better explain time varying macroeconomic volatility any better than rational expectations. Finally, impulse response functions from the estimated models show that the dynamics following a structural shock can depend crucially on how expectations are initialized and what information agents are assumed to have.

The dynamics of durable goods markets: rational expectations and sticky prices

Ocaña Pérez de Tudela, Carlos
Fonte: Universidade Carlos III de Madrid Publicador: Universidade Carlos III de Madrid
Tipo: info:eu-repo/semantics/workingPaper; info:eu-repo/semantics/workingPaper Formato: application/pdf
Publicado em /03/1991 Português
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This paper studies price dynamics in a durable good market under the assumption that consumers have rational expectations on future prices. For a wide variety of expectations, optimal consumption plans result in sticky-price demand functions. Market dynamics are characterized by intertemporal price discrimination which provides a possible explanation for the declining path of price observed in many "young" industries. Unexpected shocks on demand result in price overshooting, while unexpected supplyshocks have the opposite effect on price.

How to get the Blanchard-Kahn form from a general linear rational expectations model

Boucekkine, Raouf; Le Van, Cuong; Schubert, Katheline
Fonte: Universidade Carlos III de Madrid Publicador: Universidade Carlos III de Madrid
Tipo: Trabalho em Andamento Formato: application/pdf
Publicado em /04/1996 Português
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In this paper, we prove that every linear model with rational expectations can be transformed by the means of an one-to-one mapping into another model which has one of the following properties: i) it is degenerated, ii) it is backward, ii) it has the Blanchard-Kahn form. In addition to sorne simple illustrations, we provide two applications on two nonlinear forward-looking economic models in order to show how to use our theoretical analysis for local stability assessment.

Rational expectations equilibria and the ex-post core of an economy with asymmetric information

Einy, Ezra; Moreno, Diego; Shitovitz, Benyamin
Fonte: Elsevier Publicador: Elsevier
Tipo: Artigo de Revista Científica Formato: application/pdf
Publicado em /12/2000 Português
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We study the relationship between the set of rational expectations equilibrium allocations and the ex-post core of exchange economies with asymmetric information.

Rational expectations equilibria and the ex-post core of an economy with asymmetric informattion

Einy, Ezra; Moreno, Diego; Shitovitz, Benyamin
Fonte: Universidade Carlos III de Madrid Publicador: Universidade Carlos III de Madrid
Tipo: Trabalho em Andamento Formato: application/pdf
Publicado em /11/1998 Português
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We study the relationship between the rational expectations equilibrium allocations and the ex -post core of exchange economies with asymmetric information.

A regra ótima de armazenamento de arroz no Brasil

BRAGAGNOLO, Cassiano; GUIMARÃES, Vania Di Addario; BARROS, Geraldo Sant'Ana de Camargo
Fonte: Faculdade de Economia, Administração e Contabilidade de Ribeirão Preto da Universidade de São Paulo Publicador: Faculdade de Economia, Administração e Contabilidade de Ribeirão Preto da Universidade de São Paulo
Tipo: Artigo de Revista Científica
Português
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Este trabalho pretende aplicar um modelo econômico dinâmico de expectativas racionais para armazenamento de arroz no Brasil com o intuito de modelar a decisão de estocagem. Estas quantidades de estoque maximizam os efeitos de bem-estar oriundos da introdução da estocagem como uma atividade econômica competitiva em um mercado com oferta estocástica, em que todos os indivíduos são maximizadores de lucro com expectativas racionais. Os impactos dependem, principalmente, da informação disponível ao produtor antes do armazenamento ser introduzido, da elasticidade da oferta de área, da especificação da curva de demanda, da taxa de juros considerada e do custo de estocagem. Estas funções e valores foram utilizados para a estimação de um modelo dinâmico de expectativas racionais, através de programação dinâmica estocástica, aproximando uma função de preço esperado e área plantada em função do estoque inicial, fazendo uso de polinômio de quarto grau no estoque, no qual se encontrou uma disponibilidade crítica, a partir da qual ocorrerá armazenamento como uma atividade econômica. Em seguida, procedeu-se à estimação de simulações de longo prazo com o intuito de avaliar os impactos de altos e baixos estoques iniciais no mercado. Os resultados demonstraram que estes impactos podem ser percebidos por cerca de três ou quatro safras.; This paper aims to analyze the rice Storage in Brazil through a dynamic economic model of rational expectations in order to model the storage decision. The Storage quantities maximize the welfare in a competitive market with stochastic supply...

The Rational Expectations Hypothesis: An assessment on its real world application

Tob??n, Santiago
Fonte: Universidad EAFIT Publicador: Universidad EAFIT
Tipo: info:eu-repo/semantics/article; info:eu-repo/semantics/publishedVersion; article; Art??culo Formato: application/pdf
Português
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The Rational Expectations Hypothesis was first developed as a theoretical technique aimed at explaining agents??? behavior in a given environment. In particular, it describes how the outcome of a given economic phenomenon depends to a certain degree on what agents expect to happen. Subsequently, it was introduced into macroeconomic models as a way to explain the ineffectiveness of monetary policy. Since then, most of these models have been based on the rational expectations assumption. This paper assesses the real life application of this feature based on two arguments: the determination of an objective reality through beliefs and subjective expectations; and the exclusion of the evolution of human knowledge and innovation in macroeconomic models.

Survey Expectations

Pesaran, M. Hashem; Weale, Martin
Fonte: Universidade de Cambridge Publicador: Universidade de Cambridge
Formato: 478132 bytes; application/pdf; application/pdf
Português
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This paper focuses on survey expectations and discusses their uses for testing and modeling of expectations.Alternative models of expectations formation are reviewed and the importance of allowing for heterogeneity of expectations is emphasized. A weak form of the rational expectations hypothesis which focuses on average expectationsrather than individual expectations is advanced. Other models of expectations formation, such as the adaptive expectations hypothesis, are briefly discussed. Testable implications of rational and extrapolative models of expectationsare reviewed and the importance of the loss function for the interpretation of the test results is discussed. The paper thenprovides an account of the various surveys of expectations, reviews alternative methods of quantifying the qualitative surveys, and discusses the use of aggregate and individual survey responses in the analysis of expectations and for forecasting.

Efficiency of Experimental Security Markets with Insider Information: An Application of Rational-Expectations Models

Plott, Charles R.; Sunder, Shyam
Fonte: University of Chicago Press Publicador: University of Chicago Press
Tipo: Article; PeerReviewed Formato: application/pdf
Publicado em /08/1982 Português
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The study reports on the ability of competing models of market information integration and dissemination to explain the behavior of simple laboratory markets for a one-priced security. Returns to the security depended upon a randomly drawn state of nature. Some agents (insiders), whose identity was unknown to other agents, knew the state before the markets opened. With replication of market conditions, the predictions of a fully revealing rational-expectations model are relatively accurate. Prices adjusted immediately to near rational-expectations prices; profits of insiders were virtually indistinguishable from non-insiders; and efficiency levels converged to near 100 percent.

Rational Expectations and the Aggregation of Diverse Information in Laboratory Security Markets

Plott, Charles R.; Sunder, Shyam
Fonte: Econometric Society Publicador: Econometric Society
Tipo: Article; PeerReviewed Formato: application/pdf
Publicado em /09/1988 Português
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The idea that markets might aggregate and disseminate information and also resolve conflicts is central to the literature on decentralization (Hurwicz, 1972) and rational expectations (Lucas, 1972). We report on three series of experiments all of which were predicted to have performed identically by the theory of rational expectations. In two of the three series (one in which participants trade a complete set of Arrow-Debreu securities and a second in which all participants have identical preferences), double auction trading leads to efficient aggregation of diverse information and rational expectations equilibrium. Failure of the third series to exhibit such convergence demonstrates the importance of market institutions and trading instruments in achievement of equilibrium.

A regra ótima de armazenamento de arroz no Brasil

Bragagnolo, Cassiano; Guimarães, Vania Di Addario; Barros, Geraldo Sant'Ana de Camargo
Fonte: Universidade de São Paulo. Faculdade de Economia, Administração e Contabilidade de RP Publicador: Universidade de São Paulo. Faculdade de Economia, Administração e Contabilidade de RP
Tipo: info:eu-repo/semantics/article; info:eu-repo/semantics/publishedVersion; ; ; Formato: application/pdf
Publicado em 01/03/2009 Português
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This paper aims to analyze the rice Storage in Brazil through a dynamic economic model of rational expectations in order to model the storage decision. The Storage quantities maximize the welfare in a competitive market with stochastic supply, in which all individuals are profit maximizers with rational expectations. The impacts depend mainly on the information available to the producer before storage is introduced, the elasticity of area supply, the specification of the demand curve, the storage costs and the rate of interest. These functions were used to estimate a dynamic model of rational expectations by a area supply function and expected price according to original storage, using a fourth degree polynomial in the stock. Then, a long-term simulation was estimated with the aim of show the impacts of high and low initial amount of storage in the market. The results showed that these impacts can be perceived for three or four seasons.; Este trabalho pretende aplicar um modelo econômico dinâmico de expectativas racionais para armazenamento de arroz no Brasil com o intuito de modelar a decisão de estocagem. Estas quantidades de estoque maximizam os efeitos de bem-estar oriundos da introdução da estocagem como uma atividade econômica competitiva em um mercado com oferta estocástica...

Testes de racionalidade para loterias no Brasil

Lima, Marcos A. M.; Resende, Marcelo
Fonte: Universidade de São Paulo. Faculdade de Economia, Administração e Contabilidade de RP Publicador: Universidade de São Paulo. Faculdade de Economia, Administração e Contabilidade de RP
Tipo: info:eu-repo/semantics/article; info:eu-repo/semantics/publishedVersion; ; ; Formato: application/pdf
Publicado em 01/06/2006 Português
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O artigo investiga a prevalência de expectativas racionais no caso de duas loterias brasileiras (Quina e Mega-Sena). A estratégia de teste se relaciona com uma condição de ortogonalidade entre o erro condicional de previsão e o conjunto de informação. Especificamente, o resíduo de uma equação para o preço líquido de um bilhete de loteria deveria ser não correlacionado com as vendas. Os resultados favoreceram a hipótese de expectativas racionais somente no caso da Mega-Sena que é sujeita a ampla cobertura da mídia. Claramente a Quina está associada a um perfil distinto de apostadores.; The paper investigates the prevalence of rational expectations in the case of two Brazilian lotteries (Quina and Mega-Sena). The testing strategy relates to an orthogonality condition between the conditional forecast error and the information set. Specifically, the residual of a equation for net price of a lottery ticket should be uncorrelated with sales The results favoured the rational expectations hypothesis only in the case of the Mega-Sena that is subject to broad media coverage. Clearly the Quina lottery is associated with a diferent profile of betters.

Fórmula de valoração racional (RVF) e variabilidade no tempo das taxas de retornos de ativos; Rational valuation formula (RVF) and time variability in asset rates of return

Ripamonti, Alexandre
Fonte: Universidade de São Paulo. Escola de Economia, Administração e Contabilidade Publicador: Universidade de São Paulo. Escola de Economia, Administração e Contabilidade
Tipo: info:eu-repo/semantics/article; info:eu-repo/semantics/publishedVersion; ; ; ; ; ; Formato: application/pdf; application/pdf
Publicado em 01/04/2013 Português
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O relacionamento de longo prazo e o correspondente mecanismo de correção de erros no curto prazo, entre dados agregados de preço e dividendos, é estudado no presente trabalho, através dos conceitos de fórmula de valoração racional e cointegração variante no tempo, e sob o referencial da teoria das expectativas racionais e de movimentação de preços de Muth (1961), para se supor a variabilidade das taxas de retorno de ativos, testando as hipóteses nulas de mecanismos de correção de erros dos vetores de cointegração constantes no tempo e de desigualdade entre valor fundamental e preço da ação. As séries obtidas foram as disponibilizadas por Shiller (2005) e se referem aos dados agregados de preço e dividendos do mercado acionário norte-americano, no período de 1871 a 2010. Os dados foram analisados através dos modelos de cointegração de Johansen, com a utilização de variáveis restritas decorrentes da combinação das variáveis estudadas com o polinômio temporal de Chebyshev, como proposto por Bierens e Martins (2010). Os resultados indicam a rejeição da hipótese nula de constância dos vetores de cointegração e, ainda, a não rejeição da hipótese nula de desigualdade entre valor fundamental e preço da ação. Tais resultados são consistentes com os obtidos por Bierens e Martins (2010) e não consistentes com a teoria das expectativas racionais de Muth (1961). Conclui-se...

Do we follow others when we should? A simple test of rational expectations

Weizsacker, Georg
Fonte: ESRC Centre for Economic Learning and Social Evolution, University College London Publicador: ESRC Centre for Economic Learning and Social Evolution, University College London
Tipo: Monograph; NonPeerReviewed Formato: application/pdf
Publicado em /04/2008 Português
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The paper presents a new meta data set covering 13 experiments on the social learning games by Bikhchandani, Hirshleifer, and Welch (1992). The large amount of data makes it possible to estimate the empirically optimal action for a large variety of decision situations and ask about the economic signi…cance of suboptimal play. For example, one can ask how much of the possible payo¤s the players earn in situations where it is empirically optimal that they follow others and contradict their own information. The answer is 53% on average across all experiments –only slightly more than what they would earn by choosing at random. The players’ own information carries much more weight in the choices than the information conveyed by other players’choices: the average player contradicts her own signal only if the empirical odds ratio of the own signal being wrong, conditional on all available information, is larger than 2:1, rather than 1:1 as would be implied by rational expectations. A regression analysis formulates a straightforward test of rational expectations, which rejects, and con…rms that the reluctance to follow others generates a large part of the observed variance in payo¤s, adding to the variance that is due to situational di¤erences.