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dc.contributor.author
Kingeski Galimberti, Jaqueson
dc.date.accessioned
2019-04-26T08:00:04Z
dc.date.available
2019-04-26T08:00:04Z
dc.date.issued
2019-03
dc.identifier.uri
http://hdl.handle.net/20.500.11850/339656
dc.identifier.doi
10.3929/ethz-b-000332885
dc.description.abstract
Adaptive learning under constant-gain allows persistent deviations of beliefs from equilibrium so as to more realistically reflect agents’ attempt of tracking the continuous evolution of the economy. A characterization of these beliefs is therefore paramount to a proper understanding of the role of expectations in the determination of macroeconomic outcomes. In this paper we propose a simple approximation of the first two moments (mean and variance) of the asymptotic distribution of learning estimates for a general class of dynamic macroeconomic models under constant-gain learning. Our approximation provides renewed convergence conditions that depend on the learning gain and the model’s structural parameters. We validate the accuracy of our approximation with numerical simulations of a Cobweb model, a standard New-Keynesian model, and a model including a lagged endogenous variable. The relevance of our results is further evidenced by an analysis of learning stability and the effects of alternative specifications of interest rate policy rules on the distribution of agents’ beliefs.
en_US
dc.format
application/pdf
en_US
dc.language.iso
en
en_US
dc.publisher
KOF Swiss Economic Institute, ETH Zurich
en_US
dc.rights.uri
http://rightsstatements.org/page/InC-NC/1.0/
dc.subject
Expectations
en_US
dc.subject
Adaptive learning
en_US
dc.subject
Constant-gain
en_US
dc.subject
Policy stability
en_US
dc.title
An approximation of the distribution of learning estimates in macroeconomic models
en_US
dc.type
Working Paper
dc.rights.license
In Copyright - Non-Commercial Use Permitted
dc.date.published
2019-03-21
ethz.journal.title
KOF Working Papers
ethz.journal.volume
453
en_US
ethz.size
30 p.
en_US
ethz.code.jel
JEL - JEL::D - Microeconomics::D8 - Information, Knowledge, and Uncertainty::D84 - Expectations; Speculations
en_US
ethz.code.jel
JEL - JEL::E - Macroeconomics and Monetary Economics::E0 - General::E03 - Behavioral Macroeconomics
en_US
ethz.code.jel
JEL - JEL::E - Macroeconomics and Monetary Economics::E3 - Prices, Business Fluctuations, and Cycles::E37 - Forecasting and Simulation: Models and Applications
en_US
ethz.code.jel
JEL - JEL::C - Mathematical and Quantitative Methods::C6 - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling::C62 - Existence and Stability Conditions of Equilibrium
en_US
ethz.code.jel
JEL - JEL::C - Mathematical and Quantitative Methods::C6 - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling::C63 - Computational Techniques; Simulation Modeling
en_US
ethz.publication.place
Zurich
en_US
ethz.publication.status
published
en_US
ethz.leitzahl
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02120 - Dep. Management, Technologie und Ökon. / Dep. of Management, Technology, and Ec.::03716 - Sturm, Jan-Egbert / Sturm, Jan-Egbert
en_US
ethz.leitzahl
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02120 - Dep. Management, Technologie und Ökon. / Dep. of Management, Technology, and Ec.::02525 - KOF Konjunkturforschungsstelle / KOF Swiss Economic Institute
ethz.leitzahl.certified
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02120 - Dep. Management, Technologie und Ökon. / Dep. of Management, Technology, and Ec.::02525 - KOF Konjunkturforschungsstelle / KOF Swiss Economic Institute
ethz.leitzahl.certified
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02120 - Dep. Management, Technologie und Ökon. / Dep. of Management, Technology, and Ec.::03716 - Sturm, Jan-Egbert / Sturm, Jan-Egbert
en_US
ethz.relation.isOriginalFormOf
20.500.11850/311798
ethz.date.deposited
2019-03-21T09:38:28Z
ethz.source
FORM
ethz.source
FORM
ethz.eth
yes
en_US
ethz.availability
Open access
en_US
ethz.rosetta.installDate
2019-04-26T08:00:19Z
ethz.rosetta.lastUpdated
2019-04-26T08:00:19Z
ethz.rosetta.exportRequired
true
ethz.rosetta.versionExported
true
dc.identifier.olduri
http://hdl.handle.net/20.500.11850/332955
dc.identifier.olduri
http://hdl.handle.net/20.500.11850/332885
ethz.COinS
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