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来源类型 | Working Paper |
规范类型 | 报告 |
DOI | 10.3386/w12540 |
来源ID | Working Paper 12540 |
Indeterminacy in a Forward Looking Regime Switching Model | |
Roger E. A. Farmer; Daniel F. Waggoner; Tao Zha | |
发表日期 | 2006-09-28 |
出版年 | 2006 |
语种 | 英语 |
摘要 | This paper is about the properties of Markov switching rational expectations (MSRE) models. We present a simple monetary policy model that switches between two regimes with known transition probabilities. The first regime, treated in isolation, has a unique determinate rational expectations equilibrium and the second contains a set of indeterminate sunspot equilibria. We show that the Markov switching model, which randomizes between these two regimes, may contain a continuum of indeterminate equilibria. We provide examples of stationary sunspot equilibria and bounded sunspot equilibria which exist even when the MSRE model satisfies a 'generalized Taylor principle'. Our result suggests that it may be more difficult to rule out non-fundamental equilibria in MRSE models than in the single regime case where the Taylor principle is known to guarantee local uniqueness. |
主题 | Macroeconomics ; Business Cycles ; Money and Interest Rates ; Monetary Policy |
URL | https://www.nber.org/papers/w12540 |
来源智库 | National Bureau of Economic Research (United States) |
引用统计 | |
资源类型 | 智库出版物 |
条目标识符 | http://119.78.100.153/handle/2XGU8XDN/570198 |
推荐引用方式 GB/T 7714 | Roger E. A. Farmer,Daniel F. Waggoner,Tao Zha. Indeterminacy in a Forward Looking Regime Switching Model. 2006. |
条目包含的文件 | ||||||
文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
w12540.pdf(327KB) | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 |
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