Expectations, learning and macroeconomic persistence

• 成果类型: Article
• 署名作者: Milani, Fabio
• 署名单位: University of California System; University of California Irvine
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2006.11.007
• 发表日期: 2007
• 页码: 2065-2082
• 关键词: persistence; constant-gain learning; expectations; habit formation; inflation inertia; Bayesian econometrics; new-keynesian model

摘要

Monetary DGSE models under rational expectations typically require large degrees of features as habit formation in consumption and inflation indexation to match the inertia of macroeconomic variables. This paper presents an estimated model that departs from rational expectations and nests learning by economic agents, habits, and indexation. Bayesian methods facilitate the joint estimation of the learning gain coefficient together with the 'deep' parameters of the economy. The empirical results show that when learning replaces rational expectations, the estimated degrees of habits and indexation drop closer to zero, suggesting that persistence arises in the model economy mainly from expectations and learning. (c) 2006 Elsevier B.V. All rights reserved.