Arbeitspapier
Learning to Forecast and Cyclical Behavior of Output and Inflation
This paper considers a sticky price model with a cash-in-advance constraint where agents forecast inflation rates with the help of econometric models. Agents use least squares learning to estimate two competing models of which one is consistent with rational expectations once learning is complete. When past performance governs the choice of forecast model, agents may prefer to use the inconsistent forecast model, which generates an equilibrium where forecasts are inefficient. While average output and inflation result the same as under rational expectations, higher moments differ substantially: output and inflation show persistence, inflation responds sluggishly to nominal disturbances, and the dynamic correlations of output and inflation match U.S. data surprisingly well.
- Sprache
-
Englisch
- Erschienen in
-
Series: CFS Working Paper ; No. 2003/01
- Klassifikation
-
Wirtschaft
Price Level; Inflation; Deflation
Business Fluctuations; Cycles
Prices, Business Fluctuations, and Cycles: Forecasting and Simulation: Models and Applications
- Thema
-
Learning
Business Cycles
Rational Expectations
Inefficient Forecasts
Output and Inflation Persistence
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Adam, Klaus
- Ereignis
-
Veröffentlichung
- (wer)
-
Goethe University Frankfurt, Center for Financial Studies (CFS)
- (wo)
-
Frankfurt a. M.
- (wann)
-
2003
- Handle
- URN
-
urn:nbn:de:hebis:30-10071
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Adam, Klaus
- Goethe University Frankfurt, Center for Financial Studies (CFS)
Entstanden
- 2003
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