Expectations, learning and macroeconomic persistence
Monetary DGSE models under rational expectations typically require large degrees of features as habit formation in consumption and inflation indexation to match the inertia of macroeconomic variables. This paper presents an estimated model that departs from rational expectations and nests learning b...
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Veröffentlicht in: | Journal of monetary economics 2007-10, Vol.54 (7), p.2065-2082 |
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container_title | Journal of monetary economics |
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creator | Milani, Fabio |
description | Monetary DGSE models under rational expectations typically require large degrees of features as habit formation in consumption and inflation indexation to match the inertia of macroeconomic variables.
This paper presents an estimated model that departs from rational expectations and nests learning by economic agents, habits, and indexation. Bayesian methods facilitate the joint estimation of the learning gain coefficient together with the ‘deep’ parameters of the economy.
The empirical results show that when learning replaces rational expectations, the estimated degrees of habits and indexation drop closer to zero, suggesting that persistence arises in the model economy mainly from expectations and learning. |
doi_str_mv | 10.1016/j.jmoneco.2006.11.007 |
format | Article |
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This paper presents an estimated model that departs from rational expectations and nests learning by economic agents, habits, and indexation. Bayesian methods facilitate the joint estimation of the learning gain coefficient together with the ‘deep’ parameters of the economy.
The empirical results show that when learning replaces rational expectations, the estimated degrees of habits and indexation drop closer to zero, suggesting that persistence arises in the model economy mainly from expectations and learning.</description><identifier>ISSN: 0304-3932</identifier><identifier>EISSN: 1873-1295</identifier><identifier>DOI: 10.1016/j.jmoneco.2006.11.007</identifier><identifier>CODEN: JMOEDW</identifier><language>eng</language><publisher>Amsterdam: Elsevier B.V</publisher><subject>Bayesian analysis ; Bayesian econometrics ; Bayesian method ; Constant-gain learning ; Economic models ; Expectation ; Expectations ; Habit formation ; Inflation ; Inflation inertia ; Learning ; Macroeconomics ; Neokeynesianism ; New-Keynesian model ; Persistence ; Rational expectations ; Studies</subject><ispartof>Journal of monetary economics, 2007-10, Vol.54 (7), p.2065-2082</ispartof><rights>2006 Elsevier B.V.</rights><rights>Copyright Elsevier Sequoia S.A. Oct 2007</rights><lds50>peer_reviewed</lds50><oa>free_for_read</oa><woscitedreferencessubscribed>false</woscitedreferencessubscribed><citedby>FETCH-LOGICAL-c611t-fe4a69fd88c4ae103581d0c58b0a212d2d76d32a18bd6dd539e47ff1a01a20ba3</citedby><cites>FETCH-LOGICAL-c611t-fe4a69fd88c4ae103581d0c58b0a212d2d76d32a18bd6dd539e47ff1a01a20ba3</cites></display><links><openurl>$$Topenurl_article</openurl><openurlfulltext>$$Topenurlfull_article</openurlfulltext><thumbnail>$$Tsyndetics_thumb_exl</thumbnail><linktohtml>$$Uhttps://dx.doi.org/10.1016/j.jmoneco.2006.11.007$$EHTML$$P50$$Gelsevier$$H</linktohtml><link.rule.ids>314,780,784,3550,4008,27924,27925,45995</link.rule.ids><backlink>$$Uhttp://econpapers.repec.org/article/eeemoneco/v_3a54_3ay_3a2007_3ai_3a7_3ap_3a2065-2082.htm$$DView record in RePEc$$Hfree_for_read</backlink></links><search><creatorcontrib>Milani, Fabio</creatorcontrib><title>Expectations, learning and macroeconomic persistence</title><title>Journal of monetary economics</title><description>Monetary DGSE models under rational expectations typically require large degrees of features as habit formation in consumption and inflation indexation to match the inertia of macroeconomic variables.
This paper presents an estimated model that departs from rational expectations and nests learning by economic agents, habits, and indexation. Bayesian methods facilitate the joint estimation of the learning gain coefficient together with the ‘deep’ parameters of the economy.
The empirical results show that when learning replaces rational expectations, the estimated degrees of habits and indexation drop closer to zero, suggesting that persistence arises in the model economy mainly from expectations and learning.</description><subject>Bayesian analysis</subject><subject>Bayesian econometrics</subject><subject>Bayesian method</subject><subject>Constant-gain learning</subject><subject>Economic models</subject><subject>Expectation</subject><subject>Expectations</subject><subject>Habit formation</subject><subject>Inflation</subject><subject>Inflation inertia</subject><subject>Learning</subject><subject>Macroeconomics</subject><subject>Neokeynesianism</subject><subject>New-Keynesian model</subject><subject>Persistence</subject><subject>Rational expectations</subject><subject>Studies</subject><issn>0304-3932</issn><issn>1873-1295</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>2007</creationdate><recordtype>article</recordtype><sourceid>X2L</sourceid><recordid>eNqFkUGLFDEQhYMoOO76E4TBgye7rUo66fRJZFlXYcDLeg6ZpFrTTCdt0rO4_96MM-zBi4fKg_Deo_KFsTcILQKqD1M7zSmSSy0HUC1iC9A_YxvUvWiQD_I524CArhGD4C_Zq1ImAMChVxvW3f5eyK12DSmW99sD2RxD_LG10W9n63KqtTHNwW0XyiWUlaKja_ZitIdCry96xb5_vr2_-dLsvt19vfm0a5xCXJuROquG0WvtOksIQmr04KTeg-XIPfe98oJb1HuvvJdioK4fR7SAlsPeiiv27ty75PTrSGU1cyiODgcbKR2LEapHCSiq8e0_xikdc6y7GQ5Siw5RV5M8m-qrSsk0miWH2eZHg2BOIM1kLiDNCaRBNBVkze3OuUwV1VOIiC7mByOs7OrxWKcm-yqhzkmXv1dK1kbNzc91rnUfz3VUyT0Eyqa4cKLqQ64_YXwK_1noD413l-w</recordid><startdate>20071001</startdate><enddate>20071001</enddate><creator>Milani, Fabio</creator><general>Elsevier B.V</general><general>Elsevier</general><general>Elsevier Sequoia S.A</general><scope>DKI</scope><scope>X2L</scope><scope>AAYXX</scope><scope>CITATION</scope><scope>8BJ</scope><scope>FQK</scope><scope>JBE</scope></search><sort><creationdate>20071001</creationdate><title>Expectations, learning and macroeconomic persistence</title><author>Milani, Fabio</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-LOGICAL-c611t-fe4a69fd88c4ae103581d0c58b0a212d2d76d32a18bd6dd539e47ff1a01a20ba3</frbrgroupid><rsrctype>articles</rsrctype><prefilter>articles</prefilter><language>eng</language><creationdate>2007</creationdate><topic>Bayesian analysis</topic><topic>Bayesian econometrics</topic><topic>Bayesian method</topic><topic>Constant-gain learning</topic><topic>Economic models</topic><topic>Expectation</topic><topic>Expectations</topic><topic>Habit formation</topic><topic>Inflation</topic><topic>Inflation inertia</topic><topic>Learning</topic><topic>Macroeconomics</topic><topic>Neokeynesianism</topic><topic>New-Keynesian model</topic><topic>Persistence</topic><topic>Rational expectations</topic><topic>Studies</topic><toplevel>peer_reviewed</toplevel><toplevel>online_resources</toplevel><creatorcontrib>Milani, Fabio</creatorcontrib><collection>RePEc IDEAS</collection><collection>RePEc</collection><collection>CrossRef</collection><collection>International Bibliography of the Social Sciences (IBSS)</collection><collection>International Bibliography of the Social Sciences</collection><collection>International Bibliography of the Social Sciences</collection><jtitle>Journal of monetary economics</jtitle></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext</fulltext></delivery><addata><au>Milani, Fabio</au><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>Expectations, learning and macroeconomic persistence</atitle><jtitle>Journal of monetary economics</jtitle><date>2007-10-01</date><risdate>2007</risdate><volume>54</volume><issue>7</issue><spage>2065</spage><epage>2082</epage><pages>2065-2082</pages><issn>0304-3932</issn><eissn>1873-1295</eissn><coden>JMOEDW</coden><abstract>Monetary DGSE models under rational expectations typically require large degrees of features as habit formation in consumption and inflation indexation to match the inertia of macroeconomic variables.
This paper presents an estimated model that departs from rational expectations and nests learning by economic agents, habits, and indexation. Bayesian methods facilitate the joint estimation of the learning gain coefficient together with the ‘deep’ parameters of the economy.
The empirical results show that when learning replaces rational expectations, the estimated degrees of habits and indexation drop closer to zero, suggesting that persistence arises in the model economy mainly from expectations and learning.</abstract><cop>Amsterdam</cop><pub>Elsevier B.V</pub><doi>10.1016/j.jmoneco.2006.11.007</doi><tpages>18</tpages><oa>free_for_read</oa></addata></record> |
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subjects | Bayesian analysis Bayesian econometrics Bayesian method Constant-gain learning Economic models Expectation Expectations Habit formation Inflation Inflation inertia Learning Macroeconomics Neokeynesianism New-Keynesian model Persistence Rational expectations Studies |
title | Expectations, learning and macroeconomic persistence |
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