Rational Expectations in Macroeconomic Models / Edition 1

by P. Fisher

Overview

It is commonly believed that macroeconomic models are not useful for policy analysis because they do not take proper account of agents' expectations. Over the last decade, mainstream macroeconomic models in the UK and elsewhere have taken on board the ‘Rational Expectations Revolution' by explicitly incorporating expectations of the future. In principle, one can perform the same technical exercises on a forward expectations model as on a conventional model — and more!
Rational Expectations in Macroeconomic Models deals with the numerical methods necessary to carry out policy analysis and forecasting with these models. These methods are often passed on by word of mouth or confined to obscure journals.
Rational Expectations in Macroeconomic Models brings them together with applications which are interesting in their own right. There is no comparable textbook in the literature.
The specific subjects include: (i) solving for model consistent expectations; (ii) the choice of terminal condition and time horizon; (iii) experimental design: i.e., the effect of temporary vs permanent, anticipated vs. unanticipated shocks; deterministic vs. shastic, dynamic vs. static simulation; (iv) the role of exchange rate; (v) optimal control and inflation-output tradeoffs. The models used are those of the Liverpool Research Group in Macroeconomics, the London Business School and the National Institute of Economic and Social Research.

Product Details

ISBN-13:	9780792319030
Publisher:	Springer Netherlands
Publication date:	08/31/1992
Series:	Advanced Studies in Theoretical and Applied Econometrics , #26
Edition description:	1992
Pages:	211
Product dimensions:	6.14(w) x 9.21(h) x 0.24(d)

Table of Contents

Large-Scale Macroeconomic Models and Forward Expectations.- Solution Methods for Nonlinear Forward Expectations Models.- Terminal Conditions, Uniqueness and Stability.- Experimental Design.- The Role of the Exchange Rate.- Optimal Control and Inflation-Unemployment Trade-Offs.- Conclusion.

Editorial Reviews

‘ This book should be of most interest to practitioners who wish to work with large scale rational expectations models. It should also be of interest to macroeconomists who wish to obtain a feel for the issues involved in working with these models. '
Journal of Economics

From the Publisher