Recent Submissions

  • Stagnation Regime of the New Keynesian Model and Current US Policy 

    Evans, George W., 1949- (University of Oregon, Dept of Economics, 2010-10-30)
    In Evans, Guse, and Honkapohja (2008) the intended steady state is locally but not globally stable under adaptive learning, and unstable deflationary paths can arise after large pessimistic shocks to expectations. In ...
  • Expectations, Deflation Traps and Macroeconomic Policy 

    Evans, George W., 1949-; Honkapohja, Seppo, 1951- (University of Oregon, Dept of Economics, 2009-07-06)
    We examine global economic dynamics under infinite-horizon learning in a New Keynesian model in which the interest-rate rule is subject to the zero lower bound. As in Evans, Guse and Honkapohja (2008), we find that under ...
  • Monetary Policy and Heterogeneous Expectations 

    Branch, William A.; Evans, George W., 1949- (University of Oregon, Dept of Economics, 2010-04-30)
    This paper studies the implications for monetary policy of heterogeneous expectations in a New Keynesian model. The assumption of rational expec- tations is replaced with parsimonious forecasting models where agents ...
  • Does Ricardian Equivalence Hold When Expectations are not Rational? 

    Evans, George W., 1949-; Honkapohja, Seppo, 1951-; Mitra, Kaushik, 1969- (University of Oregon, Dept of Economics, 2010-08-04)
    This paper considers the Ricardian Equivalence proposition when expectations are not rational and are instead formed using adaptive learning rules. We show that Ricardian Equivalence continues to hold provided suitable ...
  • Learning and Macroeconomics 

    Honkapohja, Seppo, 1951-; Evans, George W., 1949- (University of Oregon, Dept of Economics, 2008-07-11)
    Expectations play a central role in modern macroeconomic theories. The econometric learning approach models economic agents as forming expectations by estimating and updating forecasting models in real time. The learning ...
  • Learning about Risk and Return: A Simple Model of Bubbles and Crashes 

    Branch, William A.; Evans, George W., 1949- (University of Oregon, Dept of Economics, 2008-01-31)
    This paper demonstrates that an asset pricing model with least-squares learning can lead to bubbles and crashes as endogenous responses to the fundamentals driving asset prices. When agents are risk-averse they generate ...
  • Liquidity Traps, Learning and Stagnation 

    Evans, George W., 1949-; Guse, Eran A. (Eran Alan), 1975-; Honkapohja, Seppo, 1951- (University of Oregon, Dept of Economics, 2007-06-05)
    We examine global economic dynamics under learning in a New Keynesian model in which the interest-rate rule is subject to the zero lower bound. Under normal monetary and fiscal policy, the intended steady state is locally ...
  • Anticipated Fiscal Policy and Adaptive Learning 

    Evans, George W., 1949-; Honkapohja, Seppo, 1951-; Mitra, Kaushik (University of Oregon, Dept of Economics, 2007-02-18)
    We consider the impact of anticipated policy changes when agents form expectations using adaptive learning rather than rational expectations. To model this we assume that agents combine limited structural knowledge with ...
  • Representations and Sunspot Stability 

    Evans, George W., 1949-; McGough, Bruce (University of Oregon, Dept of Economics, 2007-01-01)
    By endowing his agents with simple forecasting models, or representations, Woodford (1990) found that finite state Markov sunspot equilibria may be stable under learning. We show that common factor representations ...
  • Asset Return Dynamics and Learning 

    Branch, William A.; Evans, George W., 1949- (University of Oregon, Dept of Economics, 2006-11-13)
    This paper advocates a theory of expectation formation that incorporates many of the central motivations of behavioral finance theory while retaining much of the discipline of the rational expectations approach. We provide ...
  • Stable Finite-State Markov Sunspots 

    Evans, George W., 1949-; McGough, Bruce (University of Oregon, Dept of Economics, 2006-10-09)
    We consider a linear univariate rational expectations model, with a predetermined variable, and study existence and stability of solutions driven by an extraneous finite-state Markov process. We show that when the model ...
  • Can Perpetual Learning Explain the Forward Premium Puzzle? 

    Chakraborty, Avik, 1975-; Evans, George W., 1949- (University of Oregon, Dept of Economics, 2006-08-28)
    Under rational expectations and risk neutrality the linear projection of exchange rate change on the forward premium has a unit coefficient. However, empirical estimates of this coefficient are significantly less than ...
  • Adaptive Learning, Endogenous Inattention, and Changes in Monetary Policy 

    Branch, William A.; Evans, George W., 1949-; Carlson, John; McGough, Bruce (University of Oregon, Dept of Economics, 2006-06-22)
    This paper develops an adaptive learning formulation of an extension to the Ball, Mankiw and Reis (2005) sticky information model that incorporates endogenous inattention. We show that, following an exogenous increase in ...
  • Implementing Optimal Monetary Policy in New-Keynesian Models with Inertia 

    Evans, George W., 1949-; McGough, Bruce (University of Oregon, Dept of Economics, 2006-06-03)
    We consider optimal monetary policy in New Keynesian models with inertia. First order conditions, which we call the MJB-alternative, are found to improve upon the timeless perspective. The MJB-alternative is shown to be ...
  • Generalized Stochastic Gradient Learning 

    Evans, George W., 1949-; Honkapohja, Seppo, 1951- (University of Oregon, Dept of Economics, 2005-09-19)
    We study the properties of generalized stochastic gradient (GSG) learning in forwardlooking models. We examine how the conditions for stability of standard stochastic gradient (SG) learning both differ from and are related ...
  • Model Uncertainty and Endogenous Volatility 

    Branch, William A.; Evans, George W., 1949- (University of Oregon, Dept of Economics, 2005-10-18)
    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 ...
  • Near-Rational Exuberance 

    Bullard, James; Evans, George W., 1949-; Honkapohja, Seppo, 1951- (University of Oregon, Dept of Economics, 2005-09-17)
    We study how the use of judgement or "add-factors" in macroeconomic forecasting may disturb the set of equilibrium outcomes when agents learn using recursive methods. We isolate conditions under which new phenomena, which ...
  • Optimal Constrained Interest-rate Rules 

    Evans, George W., 1949-; McGough, Bruce (University of Oregon, Dept of Economics, 2005-05-19)
    We show that if policy-makers compute the optimal unconstrained interest-rate rule within a Taylor-type class, they may be led to rules that generate indeterminacy and/or instability under learning. This problem is compounded ...
  • Monetary Policy, Expectations and Commitment 

    Evans, George W., 1949-; Honkapohja, Seppo, 1951- (University of Oregon, Dept of Economics, 2005-04-06)
    This is a revised and shortened version of Working Paper 2002-11. Commitment in monetary policy leads to equilibria that are superior to those from optimal discretionary policies. A number of interest rate reaction functions ...
  • Monetary Policy, Endogenous Inattention, and the Volatility Trade-off 

    Branch, William A.; Carlson, John; Evans, George W., 1949-; McGough, Bruce (University of Oregon, Dept of Economics, 2004-12-07)
    This paper addresses the output-price volatility puzzle by studying the interaction of optimal monetary policy and agents' beliefs. We assume that agents choose their information acquisition rate by minimizing a loss ...

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