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  • Monetary Policy and Stable Indeterminacy with Inertia 
    Evans, George W., 1949-; McGough, Bruce (University of Oregon, Dept. of Economics, 2004-03-29)
    We examine existence and stability under learning of sunspot equilibria in a New Keynesian model incorporating inertia. Indeterminacy remains prevalent, stable sunspots abound, and inertia in IS and AS relations do not ...
  • 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 ...
  • 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.
  • A Simple Recursive Forecasting Model 
    Branch, William A.; Evans, George W., 1949- (University of Oregon, Dept of Economics, 2005-02-01)
    We compare the performance of alternative recursive forecasting models. A simple constant gain algorithm, used widely in the learning literature, both forecasts well out of sample and also provides the best fit to the ...
  • 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 ...
  • 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 ...
  • 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 ...
  • 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 ...
  • 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 ...
  • 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 ...
  • 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 ...
  • 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 ...
  • 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 ...
  • 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 ...
  • 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 ...
  • 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 ...
  • 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 ...
  • 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 ...

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