کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
987041 1480840 2007 31 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Model uncertainty and endogenous volatility
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Model uncertainty and endogenous volatility
چکیده انگلیسی

This paper identifies two channels through which the economy can generate endogenous inflation and output volatility, an empirical regularity, by introducing model uncertainty into a Lucas-type monetary model. The equilibrium path of inflation depends on agents' expectations and a vector of exogenous random variables. Following Branch and Evans agents are assumed to underparameterize their forecasting models [Branch, W., Evans, G.W., 2006a. Intrinsic heterogeneity in expectation formation. Journal of Economic Theory 127, 264–295]. A Misspecification Equilibrium arises when beliefs are optimal, given the misspecification, and predictor proportions are based on relative forecast performance. We show that there may exist multiple Misspecification Equilibria, a subset of which is stable under least squares learning and dynamic predictor selection. The dual channels of least squares parameter updating and dynamic predictor selection combine to generate regime switching and endogenous volatility.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Review of Economic Dynamics - Volume 10, Issue 2, April 2007, Pages 207–237
نویسندگان
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