Good Luck or Good Policy? An Expectational Theory of Macro-Volatility Switches
Author
Abstract
Suggested Citation
Download full text from publisher
Other versions of this item:
- Gaballo, Gaetano, 2013. "Good luck or good policy? An expectational theory of macro volatility switches," Journal of Economic Dynamics and Control, Elsevier, vol. 37(12), pages 2755-2770.
References listed on IDEAS
- Gaballo, G., 2012. "Private Uncertainty and Multiplicity," Working papers 387, Banque de France.
- William Branch & George W. Evans, 2007.
"Model Uncertainty and Endogenous Volatility,"
Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 10(2), pages 207-237, April.
- Wiliam Branch & George W. Evans, 2005. "Model Uncertainty and Endogenous Volatility," University of Oregon Economics Department Working Papers 2005-21, University of Oregon Economics Department, revised 26 Oct 2006.
- George W. Evans & William A. Branch, 2005. "Model Uncertainty and Endogenous Volatility," Computing in Economics and Finance 2005 33, Society for Computational Economics.
- Evans, George W. & McGough, Bruce, 2011.
"Representations And Sunspot Stability,"
Macroeconomic Dynamics, Cambridge University Press, vol. 15(1), pages 80-92, February.
- George W. Evans & Bruce McGough, 2007. "Representations and Sunspot Stability," University of Oregon Economics Department Working Papers 2007-1, University of Oregon Economics Department, revised 28 Aug 2008.
- Aleh Tsyvinski & Arijit Mukherji & Christian Hellwig, 2006.
"Self-Fulfilling Currency Crises: The Role of Interest Rates,"
American Economic Review, American Economic Association, vol. 96(5), pages 1769-1787, December.
- Christian Hellwig & Arijit Mukherji & Aleh Tsyvinski, 2005. "Self-Fulfilling Currency Crises: The Role of Interest Rates," NBER Working Papers 11191, National Bureau of Economic Research, Inc.
- Benhabib, Jess & Farmer, Roger E.A., 1999. "Indeterminacy and sunspots in macroeconomics," Handbook of Macroeconomics, in: J. B. Taylor & M. Woodford (ed.), Handbook of Macroeconomics, edition 1, volume 1, chapter 6, pages 387-448, Elsevier.
- George W. Evans & Seppo Honkapohja & Noah Williams, 2010.
"Generalized Stochastic Gradient Learning,"
International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 51(1), pages 237-262, February.
- George W. Evans & Seppo Honkapohja & Noah Williams, 2005. "Generalized Stochastic Gradient Learning," CESifo Working Paper Series 1576, CESifo.
- George W. Evans & Seppo Honkapohja & Noah Williams, 2005. "Generalized Stochastic Gradient Learning," University of Oregon Economics Department Working Papers 2005-17, University of Oregon Economics Department, revised 18 May 2008.
- George W. Evans & Seppo Honkapohja & Noah Williams, 2005. "Generalized Stochastic Gradient Learning," NBER Technical Working Papers 0317, National Bureau of Economic Research, Inc.
- Evans, G.W. & Honkapohja ,S. & Williams, N., 2005. "Generalized Stochastic Gradient Learning," Cambridge Working Papers in Economics 0545, Faculty of Economics, University of Cambridge.
- Lucas, Robert E, Jr, 1973. "Some International Evidence on Output-Inflation Tradeoffs," American Economic Review, American Economic Association, vol. 63(3), pages 326-334, June.
- Gabriel Perez-Quiros & Margaret M. McConnell, 2000.
"Output Fluctuations in the United States: What Has Changed since the Early 1980's?,"
American Economic Review, American Economic Association, vol. 90(5), pages 1464-1476, December.
- Margaret M. McConnell & Gabriel Perez-Quiros, 2000. "Output fluctuations in the United States: what has changed since the early 1980s?," Proceedings, Federal Reserve Bank of San Francisco, issue Mar.
- Margaret M. McConnell & Gabriel Perez-Quiros, 1997. "Output fluctuations in the United States: what has changed since the early 1980s?," Research Paper 9735, Federal Reserve Bank of New York.
- Margaret M. McConnell & Gabriel Perez-Quiros, 1998. "Output fluctuations in the United States: what has changed since the early 1980s?," Staff Reports 41, Federal Reserve Bank of New York.
- Branch, William A. & McGough, Bruce, 2005. "Consistent expectations and misspecification in stochastic non-linear economies," Journal of Economic Dynamics and Control, Elsevier, vol. 29(4), pages 659-676, April.
- William A. Branch & John Carlson & George W. Evans & Bruce McGough, 2009.
"Monetary Policy, Endogenous Inattention and the Volatility Trade‐off,"
Economic Journal, Royal Economic Society, vol. 119(534), pages 123-157, January.
- WilliamA. Branch & John Carlson & GeorgeW. Evans & Bruce McGough, 2009. "Monetary Policy, Endogenous Inattention and the Volatility Trade-off," Economic Journal, Royal Economic Society, vol. 119(534), pages 123-157, January.
- Wiliam Branch & John Carlson & George W. Evans & Bruce McGough, 2004. "Monetary Policy, Endogenous Inattention, and the Volatility Trade-off," University of Oregon Economics Department Working Papers 2004-19, University of Oregon Economics Department, revised 15 May 2007.
- William A. Branch & John B. Carlson & George W. Evans & Bruce McGough, 2004. "Monetary policy, endogenous inattention, and the volatility trade-off," Working Papers (Old Series) 0411, Federal Reserve Bank of Cleveland.
- William Branch & John Carlson & George W. Evans & Bruce McGough, 2006. "Monetary Policy, Endogenous Inattention, and the Volatility Trade-off," 2006 Meeting Papers 106, Society for Economic Dynamics.
- Andrade, Philippe & Le Bihan, Hervé, 2013.
"Inattentive professional forecasters,"
Journal of Monetary Economics, Elsevier, vol. 60(8), pages 967-982.
- Hervé Le Bihan & Philippe Andrade, 2010. "Inattentive Professional Forecasters," 2010 Meeting Papers 1144, Society for Economic Dynamics.
- Andrade, P. & Le Bihan, H., 2010. "Inattentive professional forecasters," Working papers 307, Banque de France.
- Marcet, Albert & Sargent, Thomas J, 1989. "Convergence of Least-Squares Learning in Environments with Hidden State Variables and Private Information," Journal of Political Economy, University of Chicago Press, vol. 97(6), pages 1306-1322, December.
- James Bullard & George W. Evans & Seppo Honkapohja, 2008.
"Monetary Policy, Judgment, and Near-Rational Exuberance,"
American Economic Review, American Economic Association, vol. 98(3), pages 1163-1177, June.
- James B. Bullard & George W. Evans & Seppo Honkapohja, 2007. "Monetary policy, judgment and near-rational exuberance," Working Papers 2007-008, Federal Reserve Bank of St. Louis.
- Bullard, James & Evans, George W. & Honkapohja, Seppo, 2010.
"A Model Of Near-Rational Exuberance,"
Macroeconomic Dynamics, Cambridge University Press, vol. 14(2), pages 166-188, April.
- James B. Bullard & George W. Evans & Seppo Honkapohja, 2007. "A model of near-rational exuberance," Working Papers 2007-009, Federal Reserve Bank of St. Louis.
- Evans, George & Bullard, James & Honkapohja, Seppo, 2009. "A Model of Near-Rational Exuberance," SIRE Discussion Papers 2009-11, Scottish Institute for Research in Economics (SIRE).
- Iván Werning & George-Marios Angeletos, 2006.
"Crises and Prices: Information Aggregation, Multiplicity, and Volatility,"
American Economic Review, American Economic Association, vol. 96(5), pages 1720-1736, December.
- George-Marios Angeletos & Ivan Werning, 2004. "Crises and Prices: Information Aggregation, Multiplicity and Volatility," NBER Working Papers 11015, National Bureau of Economic Research, Inc.
- Ivan Werning & George-Marios Angeletos, 2005. "Crises and Prices: Information Aggregation, Multiplicity and Volatility," 2005 Meeting Papers 284, Society for Economic Dynamics.
- Charles L. Evans, 2009. "Nontraditional Monetary Policy," Speech 29, Federal Reserve Bank of Chicago.
- Charles L. Evans, 2009. "Should Monetary Policy Prevent Bubbles," Speech 35, Federal Reserve Bank of Chicago.
- McGough, Bruce, 2003. "Statistical Learning With Time-Varying Parameters," Macroeconomic Dynamics, Cambridge University Press, vol. 7(1), pages 119-139, February.
- Adam, Klaus, 2009. "Monetary policy and aggregate volatility," Journal of Monetary Economics, Elsevier, vol. 56(S), pages 1-18.
- James H. Stock & Mark W. Watson, 2003.
"Has the Business Cycle Changed and Why?,"
NBER Chapters, in: NBER Macroeconomics Annual 2002, Volume 17, pages 159-230,
National Bureau of Economic Research, Inc.
- James H. Stock & Mark W. Watson, 2002. "Has the Business Cycle Changed and Why?," NBER Working Papers 9127, National Bureau of Economic Research, Inc.
- Luca Gambetti & Jordi Galí, 2009.
"On the Sources of the Great Moderation,"
American Economic Journal: Macroeconomics, American Economic Association, vol. 1(1), pages 26-57, January.
- Jordi Gali & Luca Gambetti, 2007. "On the sources of the Great Moderation," Proceedings, Federal Reserve Bank of San Francisco, issue Nov.
- Jordi Galí & Luca Gambetti, 2006. "On the sources of the Great Moderation," Economics Working Papers 1041, Department of Economics and Business, Universitat Pompeu Fabra, revised Jun 2007.
- GalÃ, Jordi & Gambetti, Luca, 2008. "On the Sources of the Great Moderation," CEPR Discussion Papers 6632, C.E.P.R. Discussion Papers.
- Jordi Gali & Luca Gambetti, 2008. "On the Sources of the Great Moderation," NBER Working Papers 14171, National Bureau of Economic Research, Inc.
- Christopher D. Carroll, 2003.
"Macroeconomic Expectations of Households and Professional Forecasters,"
The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 118(1), pages 269-298.
- Christopher D Carroll, 2002. "Macroeconomic Expectations of Households and Professional Forecasters," Economics Working Paper Archive 477, The Johns Hopkins University,Department of Economics.
- Hommes, Cars & Sorger, Gerhard, 1998. "Consistent Expectations Equilibria," Macroeconomic Dynamics, Cambridge University Press, vol. 2(3), pages 287-321, September.
- Kydland, Finn E & Prescott, Edward C, 1977. "Rules Rather Than Discretion: The Inconsistency of Optimal Plans," Journal of Political Economy, University of Chicago Press, vol. 85(3), pages 473-491, June.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Minsung Kim & Minki Kim, 2014. "Group-Wise Herding Behavior in Financial Markets: An Agent-Based Modeling Approach," PLOS ONE, Public Library of Science, vol. 9(4), pages 1-7, April.
- Jean Barthélemy & Magali Marx, 2012. "Generalizing the Taylor Principle: New Comment," SciencePo Working papers hal-03461113, HAL.
- repec:hal:spmain:info:hdl:2441/3bvs8clr5k9dqqcbq7j5ul2o65 is not listed on IDEAS
- Gaballo, G., 2012. "Private Uncertainty and Multiplicity," Working papers 387, Banque de France.
- repec:spo:wpmain:info:hdl:2441/3bvs8clr5k9dqqcbq7j5ul2o65 is not listed on IDEAS
- Jean Barthélemy & Magali Marx, 2012.
"Generalizing the Taylor Principle: New Comment,"
Working Papers
hal-03461113, HAL.
- Jean Barthélemy & Magali Marx, 2012. "Generalizing the Taylor Principle: New Comment," SciencePo Working papers Main hal-03461113, HAL.
- Barthélemy, J. & Marx, M., 2012. "Generalizing the Taylor Principle: New Comment," Working papers 403, Banque de France.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Hommes, Cars & Zhu, Mei, 2014.
"Behavioral learning equilibria,"
Journal of Economic Theory, Elsevier, vol. 150(C), pages 778-814.
- Hommes, C.H. & Zhu, M., 2012. "Behavioral Learning Equilibria," CeNDEF Working Papers 12-09, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
- Cars Hommes & Mei Zhu, 2013. "Behavioral Learning Equilibria," Tinbergen Institute Discussion Papers 13-014/II, Tinbergen Institute.
- Evans, David & Evans, George W. & McGough, Bruce, 2022. "The RPEs of RBCs and other DSGEs," Journal of Economic Dynamics and Control, Elsevier, vol. 143(C).
- Angeletos, G.-M. & Lian, C., 2016. "Incomplete Information in Macroeconomics," Handbook of Macroeconomics, in: J. B. Taylor & Harald Uhlig (ed.), Handbook of Macroeconomics, edition 1, volume 2, chapter 0, pages 1065-1240, Elsevier.
- Adam, Klaus, 2009. "Monetary policy and aggregate volatility," Journal of Monetary Economics, Elsevier, vol. 56(S), pages 1-18.
- Hommes, Cars, 2018. "Behavioral & experimental macroeconomics and policy analysis: a complex systems approach," Working Paper Series 2201, European Central Bank.
- Lena Draeger, 2011.
"Endogenous persistence with recursive inattentiveness,"
KOF Working papers
11-285, KOF Swiss Economic Institute, ETH Zurich.
- Lena Dräger, 2011. "Endogenous Persistence with Recursive Inattentiveness," Macroeconomics and Finance Series 201103, University of Hamburg, Department of Socioeconomics.
- Baele, Lieven & Bekaert, Geert & Cho, Seonghoon & Inghelbrecht, Koen & Moreno, Antonio, 2015.
"Macroeconomic regimes,"
Journal of Monetary Economics, Elsevier, vol. 70(C), pages 51-71.
- Lieven Baele & Geert Bekaert & Seonghoon Cho & Koen Inghelbrecht & Antonio Moreno, 2011. "Macroeconomic Regimes," NBER Working Papers 17090, National Bureau of Economic Research, Inc.
- Baele, L.T.M. & Bekaert, G.R.J. & Cho, S. & Inghelbrecht, K. & Moreno, A., 2015. "Macroeconomic regimes," Other publications TiSEM e92a1993-778e-4ce2-b603-6, Tilburg University, School of Economics and Management.
- L. Baele & G. Bekaert & S. Cho & K. Inghelbrecht & A. Moreno, 2013. "Macroeconomic Regimes," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 13/870, Ghent University, Faculty of Economics and Business Administration.
- Lieven Baele & et al., 2012. "Macroeconomic Regimes," Faculty Working Papers 03/12, School of Economics and Business Administration, University of Navarra.
- Seonghoon Cho & Koen Inghelbrecht & Geert Bekaert & Antonio Moreno & Lieven Baele, 2011. "Macroeconomic Regimes," 2011 Meeting Papers 817, Society for Economic Dynamics.
- Cars Hommes, 2017.
"From Self-Fulfilling Mistakes to Behavioral Learning Equilibria,"
Studies in Economic Theory, in: Kazuo Nishimura & Alain Venditti & Nicholas C. Yannelis (ed.), Sunspots and Non-Linear Dynamics, chapter 0, pages 97-123,
Springer.
- Cars Hommes, 2017. "From self-fulfilling mistakes to behavioral learning equilibria," Tinbergen Institute Discussion Papers 17-018/II, Tinbergen Institute.
- Bullard, James & Evans, George W. & Honkapohja, Seppo, 2010.
"A Model Of Near-Rational Exuberance,"
Macroeconomic Dynamics, Cambridge University Press, vol. 14(2), pages 166-188, April.
- James B. Bullard & George W. Evans & Seppo Honkapohja, 2007. "A model of near-rational exuberance," Working Papers 2007-009, Federal Reserve Bank of St. Louis.
- Evans, George & Bullard, James & Honkapohja, Seppo, 2009. "A Model of Near-Rational Exuberance," SIRE Discussion Papers 2009-11, Scottish Institute for Research in Economics (SIRE).
- Selgin, George & Lastrapes, William D. & White, Lawrence H., 2012. "Has the Fed been a failure?," Journal of Macroeconomics, Elsevier, vol. 34(3), pages 569-596.
- Berardi, Michele & Galimberti, Jaqueson K., 2017.
"Empirical calibration of adaptive learning,"
Journal of Economic Behavior & Organization, Elsevier, vol. 144(C), pages 219-237.
- Michele Berardi & Jaqueson K. Galimberti, 2015. "Empirical Calibration of Adaptive Learning," KOF Working papers 15-392, KOF Swiss Economic Institute, ETH Zurich.
- William Branch & George W. Evans, 2007.
"Model Uncertainty and Endogenous Volatility,"
Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 10(2), pages 207-237, April.
- George W. Evans & William A. Branch, 2005. "Model Uncertainty and Endogenous Volatility," Computing in Economics and Finance 2005 33, Society for Computational Economics.
- Wiliam Branch & George W. Evans, 2005. "Model Uncertainty and Endogenous Volatility," University of Oregon Economics Department Working Papers 2005-21, University of Oregon Economics Department, revised 26 Oct 2006.
- Mankiw, N. Gregory & Reis, Ricardo, 2010.
"Imperfect Information and Aggregate Supply,"
Handbook of Monetary Economics, in: Benjamin M. Friedman & Michael Woodford (ed.), Handbook of Monetary Economics, edition 1, volume 3, chapter 5, pages 183-229,
Elsevier.
- Mankiw, N Gregory, 2010. "Imperfect Information and Aggregate supply," CEPR Discussion Papers 7711, C.E.P.R. Discussion Papers.
- N. Gregory Mankiw & Ricardo Reis, 2010. "Imperfect Information and Aggregate Supply," NBER Working Papers 15773, National Bureau of Economic Research, Inc.
- Mankiw, N. Gregory & Reis, Ricardo, 2010. "Imperfect Information and Aggregate Supply," Scholarly Articles 33907956, Harvard University Department of Economics.
- Evans, George W. & McGough, Bruce, 2020. "Equilibrium stability in a nonlinear cobweb model," Economics Letters, Elsevier, vol. 193(C).
- Rajeev Dhawan & Karsten Jeske & Pedro Silos, 2010.
"Productivity, Energy Prices and the Great Moderation: A New Link,"
Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 13(3), pages 715-724, July.
- Pedro Silos & Karsten Jeske & Rajeev Dhawan, 2008. "Productivity, Energy Prices and the Great Moderation: A New Link," 2008 Meeting Papers 877, Society for Economic Dynamics.
- Rajeev Dhawan & Karsten Jeske & Pedro Silos, 2008. "Productivity, energy prices, and the Great Moderation: a new link," FRB Atlanta Working Paper 2008-11, Federal Reserve Bank of Atlanta.
- Rajeev Dhawan & Karsten Jeske & Pedro Silos, 2009. "Code and data files for "Productivity, Energy Prices, and the Great Moderation: A New Link"," Computer Codes 09-14, Review of Economic Dynamics.
- Cesaroni, Tatiana & Maccini, Louis & Malgarini, Marco, 2011.
"Business cycle stylized facts and inventory behaviour: New evidence for the Euro area,"
International Journal of Production Economics, Elsevier, vol. 133(1), pages 12-24, September.
- Tatiana Cesaroni & Louis Maccini & Marco Malgarini, 2009. "Business cycle volatility and inventories behavior:new evidence for the Euro Area," ISAE Working Papers 108, ISTAT - Italian National Institute of Statistics - (Rome, ITALY).
- Valcarcel, Victor J., 2013. "Exchange rate volatility and the time-varying effects of aggregate shocks," Journal of International Money and Finance, Elsevier, vol. 32(C), pages 822-843.
- Ricardo Nunes, 2010.
"Inflation Dynamics: The Role of Expectations,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 42(6), pages 1161-1172, September.
- Ricardo Nunes, 2010. "Inflation Dynamics: The Role of Expectations," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 42(6), pages 1161-1172, September.
- Kevin Lansing, 2009.
"Time Varying U.S. Inflation Dynamics and the New Keynesian Phillips Curve,"
Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 12(2), pages 304-326, April.
- Kevin J. Lansing, 2006. "Time-varying U.S. inflation dynamics and the New-Keynesian Phillips curve," Working Paper Series 2006-15, Federal Reserve Bank of San Francisco.
- Kevin J. Lansing, 2006. "Time-Varying U.S. Inflation Dynamics and the New Keynesian Phillips Curve," Computing in Economics and Finance 2006 488, Society for Computational Economics.
- Kevin J. Lansing, 2006. "Time-Varying U.S. Inflation Dynamics and the New Keynesian Phillips Curve," 2006 Meeting Papers 758, Society for Economic Dynamics.
- N. Gregory Mankiw & Ricardo Reis, 2002.
"Sticky Information versus Sticky Prices: A Proposal to Replace the New Keynesian Phillips Curve,"
The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 117(4), pages 1295-1328.
- N. Gregory Mankiw & Ricardo Reis, 2001. "Sticky information versus sticky prices: a proposal to replace the New-Keynesian Phillips curve," Proceedings, Federal Reserve Bank of San Francisco, issue Jun.
- N. Gregory Mankiw & Ricardo Reis, 2001. "Sticky Information Versus Sticky Prices: A Proposal to Replace the New Keynesian Phillips Curve," Harvard Institute of Economic Research Working Papers 1922, Harvard - Institute of Economic Research.
- N. Gregory Mankiw & Ricardo Reis, 2001. "Sticky Information Versus Sticky Prices: A Proposal to Replace the New Keynesian Phillips Curve," NBER Working Papers 8290, National Bureau of Economic Research, Inc.
- Mankiw, N. Gregory & Reis, Ricardo, 2002. "Sticky Information Versus Sticky Prices: A Proposal to Replace the New Keynesian Phillips Curve," Scholarly Articles 3415324, Harvard University Department of Economics.
More about this item
Keywords
non-fundamental volatility; perpetual learning; comovements in expectations; professional forecasters.;All these keywords.
JEL classification:
- E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles
- E5 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit
- D8 - Microeconomics - - Information, Knowledge, and Uncertainty
NEP fields
This paper has been announced in the following NEP Reports:- NEP-MAC-2012-11-03 (Macroeconomics)
- NEP-MON-2012-11-03 (Monetary Economics)
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bfr:banfra:402. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Michael brassart (email available below). General contact details of provider: https://edirc.repec.org/data/bdfgvfr.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.