Self-confirming equilibrium and the Lucas critique

• 成果类型: Article
• 署名作者: Fudenberg, Drew; Levine, David K.
• 署名单位: Harvard University; Washington University (WUSTL)
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2008.07.007
• 发表日期: 2009
• 页码: 2354-2371
• 关键词: Lucas Critique; self-confirming equilibrium; Superstitions

摘要

We examine the role of off-path superstitions in macro-economics, and show how a false belief about off-path play is the key element underlying both the Lucas Critique and the game-theoretic concept of self-confirming equilibrium. However, the impact of false beliefs in these two cases is different: In the Lucas case, a policy maker's incorrect beliefs about off-path play can lead to the adoption of mistaken policy innovation. However, the consequences of such an innovation provide evidence that the belief that motivated them was wrong. In contrast, play may never escape an undesirable self-confirming equilibrium, as the action implied by the mistaken belief does not generate data that contradicts it; escape from the self-confirming equilibrium requires that players do a sufficient amount of experimentation with off-path actions. (C) 2008 Elsevier Inc. All rights reserved.