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
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Partial current information and signal extraction in a rational expectations macroeconomic model: A computational solution
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
نویسندگان
, , ,