Browsing Evans, George W. by Author "Honkapohja, Seppo, 1951"
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Evans, George W., 1949; Honkapohja, Seppo, 1951 (University of Oregon, Dept. of Economics, November 8, 2002)[more][less]Evans, George W., 1949 Honkapohja, Seppo, 1951 20030815T21:20:11Z 20030815T21:20:11Z 20021108 http://hdl.handle.net/1794/102 We review the recent work on interest rate setting, which emphasizes the desirability of designing policy to ensure stability under private agent learning. Appropriately designed expectations based rules can yield optimal rational expectations equilibria that are both determinate and stable under learning. Some simple instrument rules and approximate targeting rules also have these desirable properties. We take up various complications in implementing optimal policy, including the observability of key variables and the required knowledge of structural parameters. An additional issue that we take up concerns the implications of expectation shocks not arising from transitional learning effects. 450560 bytes application/pdf en_US University of Oregon, Dept. of Economics University of Oregon Economics Department Working Papers;200218 Expectation shocks Stability Adaptive learning Interest rate setting Commitment Microeconomics Macroeconomics Adaptive Learning and Monetary Policy Design Working Paper

Evans, George W., 1949; Honkapohja, Seppo, 1951; Mitra, Kaushik (University of Oregon, Dept of Economics, February 18, 2007)[more][less]Evans, George W., 1949 Honkapohja, Seppo, 1951 Mitra, Kaushik 20070306T01:04:17Z 20070306T01:04:17Z 20070218 http://hdl.handle.net/1794/3912 44 p. 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 a standard adaptive learning rule. We analyze these issues using two wellknown setups, an endowment economy and the Ramsey model. In our setup there are important deviations from both rational expectations and purely adaptive learning. Our approach could be applied to many macroeconomic frameworks. Financial support from National Science Foundation Grant No. SES0617859 and ESRC grant RES000231152 is gratefully acknowledged. 389799 bytes application/pdf en_US University of Oregon, Dept of Economics University of Oregon Economics Department Working Papers ; 20075 Taxation Expectations Ramsey model Anticipated Fiscal Policy and Adaptive Learning Working Paper

Adam, Klaus; Evans, George W., 1949; Honkapohja, Seppo, 1951 (University of Oregon, Dept of Economics, March 17, 2003)[more][less]Adam, Klaus Evans, George W., 1949 Honkapohja, Seppo, 1951 20031215T18:52:18Z 20031215T18:52:18Z 20030317 http://hdl.handle.net/1794/127 Earlier studies of the seigniorage inflation model have found that the highinflation steady state is not stable under adaptive learning. We reconsider this issue and analyze the full set of solutions for the linearized model. Our main focus is on stationary hyperinflationary paths near the highinflation steady state. The hyperinflationary paths are stable under learning if agents can utilize contemporaneous data. However, in an economy populated by a mixture of agents, some of whom only have access to lagged data, stable inflationary paths emerge only if the proportion of agents with access to contemporaneous data is sufficiently high. 258,760 bytes application/pdf en_US University of Oregon, Dept of Economics University of Oregon Economics Department Working Papers;200331 Mathematical and quantitative methods Mathematical methods and programming Existence and stability conditions of equilibrium Microeconomics Expectations Macroeconomics and monetary economics Information and uncertainty Speculations Search, learning, and information Prices, business fluctuations, and cycles Price level Inflation (Finance) Deflation (Finance) Are Stationary Hyperinflation Paths Learnable? Working Paper

Evans, George W., 1949; Honkapohja, Seppo, 1951; Mitra, Kaushik, 1969 (University of Oregon, Dept of Economics, August 4, 2010)[more][less]Evans, George W., 1949 Honkapohja, Seppo, 1951 Mitra, Kaushik, 1969 20110209T23:29:32Z 20110209T23:29:32Z 20100804 http://hdl.handle.net/1794/10961 28 p. 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 additional conditions on learning dynamics are satisfied. However, new cases of failure can also emerge under learning. In particular, for Ricardian Equivalence to obtain, agents’ expectations must not depend on government’s financial variables under deficit financing. en_US University of Oregon, Dept of Economics University of Oregon Economics Department Working Papers;20103 Taxation Expectations Ramsey model Ricardian equivalence Does Ricardian Equivalence Hold When Expectations are not Rational? Working Paper

Evans, George W., 1949; Honkapohja, Seppo, 1951 (University of Oregon, Dept of Economics, June 23, 2003)[more][less]Evans, George W., 1949 Honkapohja, Seppo, 1951 20031215T19:39:41Z 20031215T19:39:41Z 20030623 http://hdl.handle.net/1794/132 We introduce the Ecorrespondence 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 related learning rules. With this technique it is possible to study, without explicit solving for the equilibrium, how properties of the equilibrium are affected by changes in the structural parameters of the model. Even if qualitative comparative dynamics results are not obtainable, a quantitative version of the principle can be applied. 244242 bytes application/pdf en_US University of Oregon, Dept of Economics University of Oregon Economics Department Working Papers;200327 The ECorrespondence Principle Working Paper

Evans, George W., 1949; Honkapohja, Seppo, 1951 (University of Oregon, Dept. of Economics, April 6, 2002)[more][less]Evans, George W., 1949 Honkapohja, Seppo, 1951 20030814T21:59:52Z 20030814T21:59:52Z 20020406 http://hdl.handle.net/1794/93 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 results have not provided conditions for the existance of adaptively stable SSEs near an indeterminate steady state. We show that there exists Markov SSEs near hat(x) that are Estable, and therefore locally stable under adaptive learning, if F'(hat(x)) < 1. 237568 bytes application/pdf en_US University of Oregon, Dept. of Economics University of Oregon Economics Department Working Papers;20029 Endogenous fluctuations Expectational stability Learnability Indeterminacy Existence of Adaptively Stable Sunspot Equilibria near an Indeterminate Steady State Working Paper

Evans, George W., 1949; Honkapohja, Seppo, 1951 (University of Oregon, Dept. of Economics, January 14, 2002)[more][less]Evans, George W., 1949 Honkapohja, Seppo, 1951 20030812T23:48:28Z 20030812T23:48:28Z 20020114 http://hdl.handle.net/1794/76 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 finitestate Markov sunspot solutions and autoregressive solutions depending on an arbitrary martingale difference sequence. We clarify the relationships between these solutions and show that the stability properties of equilibria may depend crucially on the representations used by agents in the learning process. Autoregressive forms of solutions are not learnable, but finitestate Markov sunspot solutions are stable under learning if beta < 1. 0 bytes application/pdf en_US University of Oregon, Dept. of Economics University of Oregon Economics Department Working Papers;20019 Indeterminacy Representations of solutions Learnability Expectational stability Endogenous fluctuations Microeconomics Expectational Stability of Stationary Sunspot Equilibria in a Forwardlooking Linear Model Working Paper

Evans, George W., 1949; Honkapohja, Seppo, 1951 (University of Oregon, Dept. of Economics, August 3, 2001)[more][less]Evans, George W., 1949 Honkapohja, Seppo, 1951 20030812T23:26:42Z 20030812T23:26:42Z 20010803 http://hdl.handle.net/1794/73 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 learning rules. This problem can be overcome if private expectations are observed and suitable incorporated into the policy maker's optimal rule. These strong results extend to the case in which there is simultaneous learning by the policy maker and the private agents. Our findings show the importance of conditioning policy appropriately, not just on fundamentals, but also directly on observed household and firm expectations. 0 bytes application/pdf en_US University of Oregon, Dept. of Economics University of Oregon Economics Department Working Papers;20016 Macroeconomics Monetary policy (Targets, instruments, and effects) Mathematical and quantitative methods Information and uncertainty Expectations and the Stability Problem for Optimal Monetary Policies Working Paper

Evans, George W., 1949; Honkapohja, Seppo, 1951 (University of Oregon, Dept of Economics, July 6, 2009)[more][less]Evans, George W., 1949 Honkapohja, Seppo, 1951 20110210T00:50:29Z 20110210T00:50:29Z 20090706 http://hdl.handle.net/1794/10967 32 p. We examine global economic dynamics under infinitehorizon learning in a New Keynesian model in which the interestrate rule is subject to the zero lower bound. As in Evans, Guse and Honkapohja (2008), we find that under normal monetary and fiscal policy the intended steady state is locally but not globally stable. Unstable deflationary paths can arise after large pessimistic shocks to expectations. For large expectation shocks pushing interest rates to the zero lower bound, temporary increases in government spending can be used to insulate the economy from deflation traps. en_US University of Oregon, Dept of Economics University of Oregon Economics Department Working Papers;20105 Adaptive learning Monetary policy Fiscal policy Zero Interest Rate Lower Bound Expectations, Deflation Traps and Macroeconomic Policy Working Paper

Evans, George W., 1949; Honkapohja, Seppo, 1951 (University of Oregon, Dept of Economics, July 12, 2003)[more][less]Evans, George W., 1949 Honkapohja, Seppo, 1951 20031215T19:08:19Z 20031215T19:08:19Z 20030712 http://hdl.handle.net/1794/128 Using New Keynesian models, we compare Friedman's kpercent money supply rule to optimal interest rate setting, with respect to determinacy, stability under learning and optimality. First we review the recent literature: openloop interest rate rules are subject to indeterminacy and instability problems, but a properly chosen expectationsbased rule yields determinacy and stability under learning, and implements optimal policy. We show that Friedman's rule also can generate equilibria that are determinate and stable under learning. However, computing the mean quadratic welfare loss, we find for calibrated models that Friedman's rule performs poorly when compared to the optimal interest rate rule. 320,062 bytes application/pdf en_US University of Oregon, Dept of Economics University of Oregon Economics Department Working Papers;200330 Macroeconomics and monetary economics Prices, business fluctuations, and cycles Monetary policy Central banking, and the supply of money and credit Monetary policy (Targets, instruments, and effects) Price level Inflation (Finance) Deflation (Finance) Friedman's Money Supply Rule versus Optimal Interest Rate Policy Working Paper

Evans, George W., 1949; Honkapohja, Seppo, 1951 (University of Oregon, Dept of Economics, September 19, 2005)[more][less]Evans, George W., 1949 Honkapohja, Seppo, 1951 20051215T16:42:42Z 20051215T16:42:42Z 20050919 http://hdl.handle.net/1794/1927 35 p. 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 to Estability, which governs stability under least squares learning. SG algorithms are sensitive to units of measurement and we show that there is a transformation of variables for which Estability governs SG stability. GSG algorithms with constant gain have a deeper justification in terms of parameter drift, robustness and risk sensitivity. 419658 bytes application/pdf en_US University of Oregon, Dept of Economics University of Oregon Economics Department Working Papers ; 200517 Adaptive learning Estability Recursive least squares Robust estimation Generalized Stochastic Gradient Learning Working Paper

Evans, George W., 1949; Honkapohja, Seppo, 1951 (University of Oregon, Dept of Economics, January 11, 2005)[more][less]Evans, George W., 1949 Honkapohja, Seppo, 1951 20050322T22:27:29Z 20050322T22:27:29Z 20050111 http://hdl.handle.net/1794/655 27 p. This is the text of an interview with Thomas J. Sargent. The interview will be published in Macroeconomic Dynamics. 200361 bytes application/pdf en_US University of Oregon, Dept of Economics University of Oregon Economics Department Working Papers ; 20052 Rational expectations (Economic theory) An Interview with Thomas J. Sargent Working Paper

Honkapohja, Seppo, 1951; Evans, George W., 1949 (University of Oregon, Dept of Economics, July 11, 2008)[more][less]Honkapohja, Seppo, 1951 Evans, George W., 1949 20090109T17:24:10Z 20090109T17:24:10Z 20080711 http://hdl.handle.net/1794/8264 51 p. 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 approach provides a stability test for rational expectations and a selection criterion in models with multiple equilibria. In addition, learning provides new dynamics if older data is discounted, models are misspecified or agents choose between competing models. This paper describes the Estability principle and the stochastic approximation tools used to assess equilibria under learning. Applications of learning to a number of areas are reviewed, including the design of monetary and fiscal policy, business cycles, selffulfilling prophecies, hyperinflation, liquidity traps, and asset prices. en_US University of Oregon, Dept of Economics University of Oregon Economics Department Working Papers;20083 Estability Persistent learning dynamics Sunspots Asset prices Business cycles Monetary policy Stochastic approximation Least squares Learning and Macroeconomics Working Paper

Evans, George W., 1949; Guse, Eran A. (Eran Alan), 1975; Honkapohja, Seppo, 1951 (University of Oregon, Dept of Economics, June 5, 2007)[more][less]Evans, George W., 1949 Guse, Eran A. (Eran Alan), 1975 Honkapohja, Seppo, 1951 20071024T19:34:44Z 20071024T19:34:44Z 20070605 http://hdl.handle.net/1794/5131 34 p. We examine global economic dynamics under learning in a New Keynesian model in which the interestrate rule is subject to the zero lower bound. Under normal monetary and fiscal policy, the intended steady state is locally but not globally stable. Large pessimistic shocks to expectations can lead to deflationary spirals with falling prices and falling output. To avoid this outcome we recommend augmenting normal policies with aggressive monetary and fiscal policy that guarantee a lower bound on inflation. In contrast, policies geared toward ensuring an output lower bound are insufficient for avoiding deflationary spirals. 792892 bytes application/pdf en_US University of Oregon, Dept of Economics University of Oregon Economics Department Working Papers ; 20079 Adaptive learning Monetary policy Fiscal policy Zero interest rate lower bound Indeterminacy Liquidity Traps, Learning and Stagnation Working Paper

Evans, George W., 1949; Honkapohja, Seppo, 1951 (University of Oregon, Dept. of Economics, May 22, 2002)[more][less]Evans, George W., 1949 Honkapohja, Seppo, 1951 20030815T20:46:30Z 20030815T20:46:30Z 20020522 http://hdl.handle.net/1794/95 Commitment in monetary policy leads to equilibria that are superior to those from optimal discretionary policies. A number of interest rate reaction functions and instrument rules have been proposed to implement or approxmiate commitment policy. We assess these optimal reaction functions and instrument rules in terms of whether they lead to an RE equilibrium that is both locally determinate and stable under adaptive learning by private agents. A reaction function that appropriately depends explicitly on private expectations performs well on both counts. 568320 bytes application/pdf en_US University of Oregon, Dept. of Economics University of Oregon Economics Department Working Papers;200211 Determinacy Stability Adaptive learning Interest rate setting Commitment Microeconomics Macroeconomics Monetary policy (Targets, instruments, and effects) Monetary policy, expectations and commitment Working Paper

Evans, George W., 1949; Honkapohja, Seppo, 1951 (University of Oregon, Dept of Economics, April 6, 2005)[more][less]Evans, George W., 1949 Honkapohja, Seppo, 1951 20050902T23:14:40Z 20050902T23:14:40Z 20050406 http://hdl.handle.net/1794/1309 22 p. 20020527, Revised 20050406 This is a revised and shortened version of Working Paper 200211. Commitment in monetary policy leads to equilibria that are superior to those from optimal discretionary policies. A number of interest rate reaction functions and instrument rules have been proposed to implement or approximate commitment policy. We assess these rules in terms of whether they lead to an RE equilibrium that is both locally determinate and stable under adaptive learning by private agents. A reaction function that appropriately depends explicitly on private expectations performs particularly well on both counts. 284674 bytes application/pdf en_US University of Oregon, Dept of Economics University of Oregon Economics Department Working Papers ; 200511 Commitment Interest rate setting Adaptive learning Stability Determinacy Monetary Policy, Expectations and Commitment Working Paper

Bullard, James; Evans, George W., 1949; Honkapohja, Seppo, 1951 (University of Oregon, Dept of Economics, September 17, 2005)[more][less]Bullard, James Evans, George W., 1949 Honkapohja, Seppo, 1951 20051214T19:30:45Z 20051214T19:30:45Z 20050917 http://hdl.handle.net/1794/1925 54 p. We study how the use of judgement or "addfactors" in macroeconomic forecasting may disturb the set of equilibrium outcomes when agents learn using recursive methods. We isolate conditions under which new phenomena, which we call exuberance equilibria, can exist in standard macroeconomic environments. Examples include a simple asset pricing model and the New Keynesian monetary policy framework. Inclusion of judgement in forecasts can lead to selffulfilling fluctuations, but without the requirement that the underlying rational expectations equilibrium is locally indeterminate. We suggest ways in which policymakers might avoid unintended outcomes by adjusting policy to minimize the risk of exuberance equilibria. 792798 bytes application/pdf en_US University of Oregon, Dept of Economics University of Oregon Economics Department Working Papers ; 200515 Learning Expectations Excess volatility Bounded rationality Monetary policy NearRational Exuberance Working Paper

Evans, George W., 1949; Honkapohja, Seppo, 1951 (University of Oregon, Dept. of Economics, April 30, 2003)[more][less]Evans, George W., 1949 Honkapohja, Seppo, 1951 20031211T19:40:09Z 20031211T19:40:09Z 20030430 http://hdl.handle.net/1794/125 We consider inflation and government debt dynamics when monetary policy employs a global interest rate rule and private agents forecast using adaptive learning. Because of the zero lower bound on interest rates, active interest rate rules are known to imply the existence of a second, low inflation steady state, below the target inflation rate. Under adaptive learning dynamics we find the additional possibility of a liquidity trap, in which the economy slips below this low inflation steady state and is driven to an even lower inflation floor that is supported by a switch to an aggressive money supply rule. Fiscal policy alone cannot push the economy out of the liquidity trap. However, raising the threshold at which the money supply rule is employed can dislodge the economy from the liquidity trap and ensure a return to the target equilibrium. 787,053 bytes application/pdf en_US University of Oregon, Dept. of Economics University of Oregon Economics Department Working Papers;200333. Macroeconomics Monetary policy Banks and banking, Central Monetary economics Finance, Public Macroeconomic policy Comparative or joint analysis of fiscal and monetary policy Stabilization Central banking Bank loans Monetary policy (Targets, instruments, and effects) Credit Policy Interaction, Expectations and the Liquidity Trap Working Paper

Evans, George W., 1949; Honkapohja, Seppo, 1951 (University of Oregon, Dept. of Economics, August 3, 2002)[more][less]Evans, George W., 1949 Honkapohja, Seppo, 1951 20030815T21:15:41Z 20030815T21:15:41Z 20020803 http://hdl.handle.net/1794/101 We investigate both the rational explosive inflation paths studied by (McCallum 2001), and the classification of fiscal and monetary polices proposed by (Leeper 1991), for stability under learning of the rational expectations equilibria (REE). Our first result is that the fiscalist REE in the model of (McCallum 2001) is not locally stable under learning. In contrast, in the setting of (Leeper 1991), different possibilities can arise. We find, in particular, that there are parameter domains for which the fiscal theory solution, in which fiscal variables affect the price level, can be a stable outcome under learning. However, for other parameter domains the monetarist solution is instead the stable equilibrium. 417792 bytes application/pdf en_US University of Oregon, Dept. of Economics University of Oregon Economics Department Working Papers;200217 Explosive price paths Fiscal and monetary policy Expectations Inflation (Finance) Microeconomics Macroeconomics Policy Interaction, Learning and the Fiscal Theory of Prices Working Paper

Evans, George W., 1949; Honkapohja, Seppo, 1951; Marimon, Ramon, 1953 (University of Oregon, Dept. of Economics, October 25, 2002)[more][less]Evans, George W., 1949 Honkapohja, Seppo, 1951 Marimon, Ramon, 1953 20030812T20:41:49Z 20030812T20:41:49Z 20021025 http://hdl.handle.net/1794/72 We develop a monetary model with flexible supply of labor, cash in advance constraints and government spending financed by seignorage. This model has two regimes. One regime is conventional with two steady states. The other regime has a unique steady state which can be determinate or indeterminate. In the latter case there exist sunspot equilibria which are stable under adaptive learning, taking the form of noisy finite state Markov processes at resonant frequencies. For a range of parameter values, a sufficient reduction in government purchases will eliminate these equilibria. 0 bytes application/pdf en_US University of Oregon, Dept. of Economics University of Oregon Economics Department Working Papers;20015 Indeterminacy Learnability Expectational stability Endogenous fluctuations Seignorage (Finance) Mathematical and quantitative methods Microeconomics Macroeconomics and monetary economics Stable Sunspot Equilibira in a CashinAdvance Economy Working Paper
Now showing items 120 of 20