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Rational Expectations in Macroeconomic Models

  • Book
  • © 1992

Overview

Authors:
  1. Paul Fisher

    1. Economics Division, Bank of England, UK

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Part of the book series: Advanced Studies in Theoretical and Applied Econometrics (ASTA, volume 26)

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Table of contents (9 chapters)

  1. Front Matter

    Pages i-viii
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  2. Introduction

    • Paul Fisher
    Pages 1-4

  3. Large-Scale Macroeconomic Models and Forward Expectations

    • Paul Fisher
    Pages 5-35

  4. Solution Methods for Nonlinear Forward Expectations Models

    • Paul Fisher
    Pages 37-72

  5. Terminal Conditions, Uniqueness and Stability

    • Paul Fisher
    Pages 73-109

  6. Experimental Design

    • Paul Fisher
    Pages 111-146

  7. The Role of the Exchange Rate

    • Paul Fisher
    Pages 147-165

  8. Optimal Control and Inflation-Unemployment Trade-Offs

    • Paul Fisher
    Pages 167-195

  9. Conclusion

    • Paul Fisher
    Pages 197-199

  10. Bibliography

    • Paul Fisher
    Pages 201-211

  11. Back Matter

    Pages 211-214
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Keywords

About this book

It is commonly believed that macroeconomic models are not useful for policy analysis because they do not take proper account of agents' expectations. Over the last decade, mainstream macroeconomic models in the UK and elsewhere have taken on board the `Rational Expectations Revolution' by explicitly incorporating expectations of the future. In principle, one can perform the same technical exercises on a forward expectations model as on a conventional model -- and more!
Rational Expectations in Macroeconomic Models deals with the numerical methods necessary to carry out policy analysis and forecasting with these models. These methods are often passed on by word of mouth or confined to obscure journals.
Rational Expectations in Macroeconomic Models brings them together with applications which are interesting in their own right. There is no comparable textbook in the literature.
The specific subjects include: (i) solving for model consistent expectations; (ii) the choice of terminal condition and time horizon; (iii) experimental design: i.e., the effect of temporary vs permanent, anticipated vs. unanticipated shocks; deterministic vs. stochastic, dynamic vs. static simulation; (iv) the role of exchange rate; (v) optimal control and inflation-output tradeoffs. The models used are those of the Liverpool Research Group in Macroeconomics, the London Business School and the National Institute of Economic and Social Research.

Reviews

` This book should be of most interest to practitioners who wish to work with large scale rational expectations models. It should also be of interest to macroeconomists who wish to obtain a feel for the issues involved in working with these models. '
Journal of Economics

Authors and Affiliations

  • Economics Division, Bank of England, UK

    Paul Fisher

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