Browsing Evans, George W. by Author "McGough, Bruce"
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Branch, William A.; Evans, George W., 1949; Carlson, John; McGough, Bruce (University of Oregon, Dept of Economics, June 22, 2006)[more][less]Branch, William A. Evans, George W., 1949 Carlson, John McGough, Bruce 20061002T20:00:03Z 20061002T20:00:03Z 20060622 http://hdl.handle.net/1794/3423 11 p. 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 the policymaker’s preferences for price vs. output stability, the learning process can converge to a new equilibrium in which both output and price volatility are lower. 179460 bytes application/pdf en_US University of Oregon, Dept of Economics University of Oregon Economics Department Working Papers ; 20066 Optimal monetary policy Bounded rationality Economic stabilization Adaptive learning Adaptive Learning, Endogenous Inattention, and Changes in Monetary Policy Working Paper

Evans, George W., 1949; McGough, Bruce (University of Oregon, Dept of Economics, June 3, 2006)[more][less]Evans, George W., 1949 McGough, Bruce 20061002T19:53:24Z 20061002T19:53:24Z 20060603 http://hdl.handle.net/1794/3422 36 p. We consider optimal monetary policy in New Keynesian models with inertia. First order conditions, which we call the MJBalternative, are found to improve upon the timeless perspective. The MJBalternative is shown to be the best possible in the sense that it minimizes policymakers’ unconditional expected loss, and further, it is numerically found to offer significant improvement over the timeless perspective. Implementation of the MJBalternative is considered via construction of interestrate rules that are consistent with its associated unique equilibrium. Following Evans and Honkapohja (2004), an expectations based rule is derived that always yields a determinate model and an Estable equilibrium. Further, the “policy manifold” of all interestrate rules consistent with the MJBalternative is classified, and open regions of this manifold are shown to correspond to indeterminate models and unstable equilibria. 593049 bytes application/pdf en_US University of Oregon, Dept of Economics University of Oregon Economics Department Working Papers ; 20065 Monetary policy Taylor rules Indeterminacy Estability Implementing Optimal Monetary Policy in NewKeynesian Models with Inertia Working Paper

Evans, George W., 1949; McGough, Bruce (University of Oregon, Dept. of Economics, July 25, 2002)[more][less]Evans, George W., 1949 McGough, Bruce 20030815T20:59:39Z 20030815T20:59:39Z 20020725 http://hdl.handle.net/1794/98 We extend common factor analysis to a multidimensional 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 that there are parameter regions in which these sunspots are stable under learning. However, once the parameters are restricted to coincide with those generated by certain standard models of indeterminacy, we find, under one information assumption, that no stable sunspots exist, and under another information assumption, that they exist only for a very small part of the indeterminacy region. This leads to the following puzzle: why does indeterminacy almost always imply instability in RBCtype models? 670720 bytes application/pdf en_US University of Oregon, Dept. of Economics University of Oregon Economics Department Working Papers;200214 Stability Earning Expectations Sunspots Business cycles Macroeconomics Microeconomics Economic stabilization Indeterminacy and the Stability Puzzle in NonConvex Economies Working Paper

Evans, George W., 1949; McGough, Bruce (University of Oregon, Dept. of Economics, March 29, 2004)[more][less]Evans, George W., 1949 McGough, Bruce 20041020T19:56:30Z 20041020T19:56:30Z 20040329 http://hdl.handle.net/1794/236 9 p. 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 significantly impact the policy region containing stable sunspots. National Science Foundation, Grant No. 0136848. 174859 bytes application/pdf en_US University of Oregon, Dept. of Economics University of Oregon Economics Department Working Papers;20044 Monetary policy Sunspots Learning Stability Monetary Policy and Stable Indeterminacy with Inertia Working Paper

Branch, William A.; Carlson, John; Evans, George W., 1949; McGough, Bruce (University of Oregon, Dept of Economics, December 7, 2004)[more][less]Branch, William A. Carlson, John Evans, George W., 1949 McGough, Bruce 20050322T23:14:05Z 20050322T23:14:05Z 20041207 http://hdl.handle.net/1794/662 52 p. This paper addresses the outputprice 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 function that depends on expected forecast errors and information costs. Endogenous inattention is a Nash equilibrium in the information processing rate. Although a decline of policy activism directly increases output volatility, it indirectly anchors expectations, which decreases output volatility. If the indirect effect dominates then the usual tradeoff between output and price volatility breaks down. This provides a potential explanation for the "Great Moderation" that began in the 1980's. 531074 bytes application/pdf en_US University of Oregon, Dept of Economics University of Oregon Economics Department Working Papers ; 200419 Expectations Optimal monetary policy Bounded rationality Economic stabilization Adaptive learning Monetary Policy, Endogenous Inattention, and the Volatility Tradeoff Working Paper

Evans, George W., 1949; McGough, Bruce (University of Oregon, Dept. of Economics, October 11, 2003)[more][less]Evans, George W., 1949 McGough, Bruce 20031211T19:18:28Z 20031211T19:18:28Z 20031011 http://hdl.handle.net/1794/124 The development of tractable forward looking models of monetary policy has lead to an explosion of research on the implications of adopting Taylortype interest rate rules. Indeterminacies have been found to arise for some specifications of the interest rate rule, raising the possibility of increased economic fluctuations due to a dependence of expectations on extraneous sunspots. Separately, recent work by a number of authors has shown that sunspot equilibria previously thought to be unstable under private agent learning can in some cases be stable when the observed sunspot has a suitable time series structure. In this paper we generalize the common factor technique, used in this analysis, to examine standard monetary models that combine forward looking expectations and predetermined variables. We consider a variety of specifications that incorporate both lagged and expected inflation in the Phillips Curve, and both expected and inertial elements in the policy rule. We find that some policy rules can indeed lead to learnable sunspot solutions and we investigate the conditions under which this phenomenon arises. 1,097,683 bytes application/pdf en_US University of Oregon, Dept. of Economics University of Oregon Economics Department Working Papers;200334 Macroeconomics and monetary economics Search, learning, and information Macroeconomics and monetary economics Microeconomics Monetary policy (Central banking, and the supply of money and credit) Monetary policy (Targets, instruments, and effects) Prices, business fluctuations, and cycles Business fluctuations Cycles Information and uncertainty Expectations Speculations Monetary policy, indeterminacy and learning Working Paper

Evans, George W., 1949; McGough, Bruce (University of Oregon, Dept of Economics, May 19, 2005)[more][less]Evans, George W., 1949 McGough, Bruce 20050902T23:24:42Z 20050902T23:24:42Z 20050519 http://hdl.handle.net/1794/1312 35 p. We show that if policymakers compute the optimal unconstrained interestrate rule within a Taylortype class, they may be led to rules that generate indeterminacy and/or instability under learning. This problem is compounded by uncertainty about structural parameters since an optimal rule that is determinate and stable under learning for one calibration may be indeterminate or unstable under learning under a different calibration. We advocate a procedure in which policymakers restrict attention to rules constrained to lie in the determinate learnable region for all plausible calibrations, and that minimize the expected loss, computed using structural parameter priors, subject to this constraint. 679684 bytes application/pdf en_US University of Oregon, Dept of Economics University of Oregon Economics Department Working Papers ; 200509 Monetary policy Taylor rules Indeterminacy Learning Instability Parameter uncertainty Robust rules Optimal Constrained Interestrate Rules Working Paper

Evans, George W., 1949; McGough, Bruce (University of Oregon, Dept of Economics, January 1, 2007)[more][less]Evans, George W., 1949 McGough, Bruce 20070219T19:00:47Z 20070219T19:00:47Z 20070101 http://hdl.handle.net/1794/3871 8 p. 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 generalize to all sunspot equilibria the representations used by Woodford (1990). We find that if finite state Markov sunspots are stable under learning then all sunspots are stable under learning, provided common factor representations are used. 122477 bytes application/pdf en_US University of Oregon, Dept of Economics University of Oregon Economics Department Working Papers ; 20071 Indeterminacy Sunspots Equilibria Estability Representations and Sunspot Stability Working Paper

Evans, George W., 1949; McGough, Bruce (University of Oregon, Dept of Economics, October 9, 2006)[more][less]Evans, George W., 1949 McGough, Bruce 20061121T17:35:06Z 20061121T17:35:06Z 20061009 http://hdl.handle.net/1794/3632 45 p. Revision of: Stable noisy Kstate Markov Sunspots. We consider a linear univariate rational expectations model, with a predetermined variable, and study existence and stability of solutions driven by an extraneous finitestate Markov process. We show that when the model is indeterminate there exists a new class of kstate dependent sunspot equilibria in addition to the kstate sunspot equilibria (kSSEs) already known to exist in part of the indeterminacy region. The new type of equilibria, which we call ergodic kSSEs, are driven by a finitestate sunspot but can have an infinite range of values even in the nonstochastic model. Stability under econometric learning is analyzed using representations that nest both types of equilibria. 2SSEs and ergodic 2SSEs are learnable for parameters in proper subsets of the regions of their existence. Our results extend to models with intrinsic random shocks. 761525 bytes application/pdf en_US University of Oregon, Dept of Economics University of Oregon Economics Department Working Papers ; 200613 Markov sunspots Learning Indeterminacy Expectational stability Stable FiniteState Markov Sunspots Working Paper

Evans, George W., 1949; McGough, Bruce (University of Oregon, Dept. of Economics, July 18, 2002)[more][less]Evans, George W., 1949 McGough, Bruce 20030815T21:23:22Z 20030815T21:23:22Z 20020718 http://hdl.handle.net/1794/103 We consider a linear stochastic univariate rational expectations model, with a predetermined variable, and consider solutions driven by an extraneous finite state Markov process as well as by the fundamental noise. We obtain conditions for existence of noisy kstate sunspot equilibria (noisy kSSEs) and, for the case k=2, of noisy kstate dependent sunspot equilibria (noisy k*SDSs). k*SDSs are driven by a finite stable sunspot but have an infinite range of values even in the nonstochastic model. Stability under econometric learning is analyzed using representations that nest both types of solution. For the case k=2, we find that noisy 2SSEs and noisy 2*SDSs are learnable for parameters in proper subsets of the regions of their existence. 759808 bytes application/pdf en_US University of Oregon, Dept. of Economics University of Oregon Economics Department Working Papers;200219 Economics Sunspots Stable Noisy Kstate Markov Sunspots Working Paper

Evans, George W., 1949; McGough, Bruce (University of Oregon, Dept. of Economics, April 17, 2002)[more][less]Evans, George W., 1949 McGough, Bruce 20030815T21:11:27Z 20030815T21:11:27Z 20020417 http://hdl.handle.net/1794/100 We consider a linear stochastic univariate rational expectations model, with a predetermined variable, and provide alternative representations of SSEs (stationary sunspot equilibria). For a strict subset of the parameter space there exist SSEs that are locally stable under least squares learning provided agents use a common factor representation for their estimated law of motion. These results indicate that for some parameter regions SSEs are more likely to arise under private agent learning than previously recognized. 529408 bytes application/pdf en_US University of Oregon, Dept. of Economics University of Oregon Economics Department Working Papers;200216 Economics Sunspots Stable Sunspot Solutions in Models with Predetermined Variables Working Paper
Now showing items 111 of 11