MARC Record from Library of Congress

LEADER: 02149nam a22003137a 4500
001 2007619400
003 DLC
005 20071227101825.0
007 cr |||||||||||
008 071227s2007 mou sb f000 0 eng
010 $a 2007619400
040 $aDLC$cDLC
050 00 $aHB1
100 1 $aBranch, William A.
245 10 $aExpectational stability in regime-switching rational expectations models$h[electronic resource] /$cWilliam A. Branch, Troy Davig, and Bruce McGough.
260 $aKansas City [Mo.] :$bResearch Division, Federal Reserve Bank of Kansas City,$c[2007]
490 0 $aRWP ;$v07-09
538 $aSystem requirements: Adobe Acrobat Reader.
538 $aMode of access: World Wide Web.
500 $aTitle from PDF file (viewed on Dec. 27, 2007).
500 $a"November 2007."
530 $aAlso available in print.
520 3 $aRegime-switching rational expectations models, in which the parameters of the model evolve according to a finite state Markov process, have properties that differentiate them from linear models. Issues that are well understood in linear contexts, such as equilibrium determinacy and stability under adaptive learning, re-emerge in this new context. This paper outlines these issues and defines two classes of equilibria that emerge from regime-switching models. The distinguishing feature between the two classes is whether the conditional density of the endogenous state variables depends on past regimes. An assumption on whether agents condition their expectations on past regimes has important implications for determinacy and equilibrium dynamics. The paper addresses the stability properties of the different classes of equilibria under adaptive learning, extending the learning literature to a non-linear framework.
504 $aIncludes bibliographical references.
653 $aE-stability ;$aAdaptive learning ;$aRegime switching ;$aSunspots
700 1 $aDavig, Troy.
700 1 $aMcGough, Bruce.
710 2 $aFederal Reserve Bank of Kansas City.$bResearch Division.
856 42 $3Abstract page with link to full-text PDF report$uhttp://www.kc.frb.org/PUBLICAT/RESWKPAP/RWP07-09.htm