Rational macroeconomic learning in linear expectational models

Tom Holden

MPRA Paper from University Library of Munich, Germany

Abstract: Abstract: The partial information rational expectations solution to a general linear multivariate expectational macro-model is found when agents are uncertain about the true values of the model’s parameters. Necessary and sufficient conditions for convergence to the full information rational expectations solution are given, and the core of an algorithm for the Bayesian updating of beliefs is provided. In the course of this a new class of full information rational expectations equilibria is described and some of its desirable properties proven.

Keywords: Rational Expectations; Partial information; Bayesian learning; Generalized Schur decomposition; Sunspots; Indeterminacy; Feasible Rational Expectations Equilibria (search for similar items in EconPapers)
JEL-codes: C11 C60 E00 (search for similar items in EconPapers)
Date: 2008-05-01
New Economics Papers: this item is included in nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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