MODELING THE EVOLUTION OF EXPECTATIONS AND UNCERTAINTY IN GENERAL EQUILIBRIUM

• 成果类型: Article
• 署名作者: Bianchi, Francesco; Melosi, Leonardo
• 署名单位: Cornell University; Duke University; National Bureau of Economic Research; Federal Reserve System - USA; Federal Reserve Bank - Chicago
• 刊物名称: INTERNATIONAL ECONOMIC REVIEW
• ISSN/ISSBN: 0020-6598
• DOI: 10.1111/iere.12174
• 发表日期: 2016
• 页码: 717-756
• 关键词: monetary-policy; macroeconomic fluctuations; inflation-expectations; rational-expectations; regime switches; dsge approach; shocks; shifts; beliefs

摘要

We develop methods to solve general equilibrium models in which forward-looking agents are subject to waves of pessimism, optimism, and uncertainty that turn out to critically affect macroeconomic outcomes. Agents in the model are fully rational and conduct Bayesian learning, and they know that they do not know. Therefore, agents take into account that their beliefs will evolve according to what they will observe. This framework accommodates both gradual and abrupt changes in beliefs and allows for an analytical characterization of uncertainty. We use a prototypical Real Business Cycle model to illustrate the methods.