Now showing items 7-26 of 43

    • 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 ...
    • Comment on "Imperfect Knowledge, Inflation Expectations and Monetary Policy" by Athanasios Orphanides and John C. Williams 

      Evans, George W., 1949- (University of Oregon, Dept. of Economics, 2003-03-31)
      Summarizes the Orphanides-Williams argument, locates the paper within the rapidly growing literature on learning and monetary policy, and offers specific comments on natural extensions or alternative approaches.
    • Coordination on saddle path solutions: the eductive viewpoint 

      Evans, George W., 1949-; Guesnerie, R. (University of Oregon, Dept. of Economics, 2001-05-15)
      We investigate local strong rationality (LSR) in a one step forward looking univariate model with memory one. Eductive arguments are used to determine when common knowledge (CK) that the solution is near some perfect ...
    • Coordination on Saddle-Path Solutions: The Eductive Viewpoint -- Linear Multivariate Models 

      Evans, George W., 1949-; Guesnerie, R. (University of Oregon, Dept of Economics, 2003-10-10)
      We examine local strong rationality (LSR) in multivariate models with both forward-looking expectations and predetermined variables. Given hypothetical common knowledge restrictions that the dynamics will be close to those ...
    • 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 ...
    • The E-Correspondence Principle 

      Evans, George W., 1949-; Honkapohja, Seppo, 1951- (University of Oregon, Dept of Economics, 2003-06-23)
      We introduce the E-correspondence principle for stochastic dynamic expectations models as a tool for comparative dynamics analysis. The principle is applicable to equilibria that are stable under least squares and closely ...
    • Existence of Adaptively Stable Sunspot Equilibria near an Indeterminate Steady State 

      Evans, George W., 1949-; Honkapohja, Seppo, 1951- (University of Oregon, Dept. of Economics, 2002-04-06)
      We examine the nonlinear model x_t = E_t F(x_(t+1)). Markov SSEs exist near an indeterminate steady state, hat(x)=F(hat(x)), provided |F'(hat(x)| > 1. Despite the importance of indeterminancy in macroeconomics, earlier ...
    • Expectational Stability of Stationary Sunspot Equilibria in a Forward-looking Linear Model 

      Evans, George W., 1949-; Honkapohja, Seppo, 1951- (University of Oregon, Dept. of Economics, 2002-01-14)
      We consider the stability under adaptive learning of the complete set of solutions to the model x_i=beta(Ei*)(x_i+1) when |beat| >1. In addition to the fundamentals solution, the literature describes both finite-state ...
    • Expectations and the Stability Problem for Optimal Monetary Policies 

      Evans, George W., 1949-; Honkapohja, Seppo, 1951- (University of Oregon, Dept. of Economics, 2001-08-03)
      A fundamentals based monetary policy rule, which would be the optimal monetary policy without commitment when private agents have perfectly rational expectations, is unstable if in fact these agents follow standard adaptive ...
    • 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 ...
    • Friedman's Money Supply Rule versus Optimal Interest Rate Policy 

      Evans, George W., 1949-; Honkapohja, Seppo, 1951- (University of Oregon, Dept of Economics, 2003-07-12)
      Using New Keynesian models, we compare Friedman's k-percent money supply rule to optimal interest rate setting, with respect to determinacy, stability under learning and optimality. First we review the recent literature: ...
    • 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 ...
    • 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 ...
    • Indeterminacy and the Stability Puzzle in Non-Convex Economies 

      Evans, George W., 1949-; McGough, Bruce (University of Oregon, Dept. of Economics, 2002-07-25)
      We extend common factor analysis to a multi-dimensional setting by considering a bivariate reduced form consistent with many Real Business Cycle type models. We show how to obtain new representations of sunspots and find ...
    • An Interview with Thomas J. Sargent 

      Evans, George W., 1949-; Honkapohja, Seppo, 1951- (University of Oregon, Dept of Economics, 2005-01-11)
      This is the text of an interview with Thomas J. Sargent. The interview will be published in Macroeconomic Dynamics.
    • Intrinsic Heterogeneity in Expectation Formation 

      Branch, William A.; Evans, George W., 1949- (University of Oregon, Dept. of Economics, 2003-05-16)
      We introduce the concept of a Misspecification Equilibrium to dynamic macroeconomics. Agents choose between a list of misspecified econometric models and base their selection on relative forecast performance. A Misspecification ...
    • 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 ...
    • 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 ...
    • 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 ...
    • 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 ...