کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5056056 | 1371512 | 2008 | 19 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Partial current information and signal extraction in a rational expectations macroeconomic model: A computational solution
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
Previous attempts at modelling current observed endogenous financial variables in a macroeconomic model have concentrated on only one variable - the short-term rate of interest. This paper applies a general search algorithm to a macroeconomic model with an observed interest rate and exchange rate to solve the signal extraction problem. Firstly, the algorithm is tested against a linear model with a known analytical solution. Then, the algorithm is applied to all the observed current endogenous variables in a non-linear rational expectations model of the UK. The informational advantage of applying the signal extraction algorithm is evaluated in terms of the forecasting efficiency of the model.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Economic Modelling - Volume 25, Issue 2, March 2008, Pages 255-273
Journal: Economic Modelling - Volume 25, Issue 2, March 2008, Pages 255-273
نویسندگان
L. Lungu, K.G.P. Matthews, A.P.L. Minford,