Learning and time-varying macroeconomic volatility

Fabio Milani

Journal of Economic Dynamics and Control, 2014, vol. 47, issue C, 94-114

Abstract: This paper presents a DSGE model in which agents׳ learning about the economy can endogenously generate time-varying macroeconomic volatility. Economic agents use simple models to form expectations and need to learn the relevant parameters. Their gain coefficient is endogenous and is adjusted according to past forecast errors.

Keywords: Adaptive learning; Constant gain; Monetary policy; Macroeconomic volatility; Inflation dynamics (search for similar items in EconPapers)
JEL-codes: C11 D84 E30 E52 E58 E66 (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (51)

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Related works:
Working Paper: Learning and Time-Varying Macroeconomic Volatility (2007)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:dyncon:v:47:y:2014:i:c:p:94-114

DOI: 10.1016/j.jedc.2014.07.017

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