Consistent expectations equilibria

Macroeconomic Dynamics

Volumn 2, Issue 3, 1998, Pages 287-321

  Hommes, Cars ^a   Sorger, Gerhard ^b  

^a UNIVERSITY OF AMSTERDAM   (Netherlands)

^b NONE

Author keywords

Expectations; Learning; Nonlinear dynamics

Indexed keywords

EID: 0032388562     PISSN: 13651005     EISSN: None     Source Type: Journal    
DOI: 10.1017/s1365100598008013     Document Type: Article

References (47)

1. Azariadis, C. & R. Guesnerie (1986) Sunspots and cycles. Review of Economic Studies 53, 725-737.
2. Barnett, W.A., R. Gallant, M.J. Hinich, J.A. Jungeilges, D.T. Kaplan & M.J. Jensen (1997) A singleblind controlled competition among tests for nonlinearity and chaos. Journal of Econometrics 82, 157-192.
3. Böhm, V. & J. Wenzelburger (1996) Expectations, Forecasting and Perfect Foresight: A Dynamical Systems Approach. Working paper, University of Bielefeld.
4. Box, G.E.P., G.M. Jenkins & G.C. Reinsel (1994) Time Series Analysis: Forecasting and Control, 3rd ed. Englewood Cliffs, NJ: Prentice-Hall.
5. Bray, M.M. (1982) Learning, estimation and the stability of rational expectations. Journal of Economic Theory 26, 318-339.
6. Bray, M.M. & N.E. Savin (1986) Rational expectations equilibria, learning and model specification. Econometrica 54, 1129-1160.
7. Brock, W.A. & W.D. Dechert (1991) Nonlinear dynamical systems: Instability and chaos in economics. In W. Hildenbrand & H. Sonnenschein (eds.), Handbook of Mathematical Economics IV. Amsterdam: North-Holland.
8. Brock, W.A. & C.H. Hommes (1997a) A rational route to randomness. Econometrica 65, 1059-1095.
9. Brock, W.A. & C.H. Hommes (1997b) Models of complexity in economics and finance. In C. Hey, J.M. Schumacher, B. Hanzon, and C. Praagman (eds.), System Dynamics in Economic and Financial Models, Chapter 1, pp. 3-41. Wiley.
10. Brock, W.A., D.A. Hsieh & B. LeBaron (1991) Nonlinear Dynamics, Chaos and Instability: Statistical Theory and Economic Evidence. Cambridge, MA: MIT Press.
11. Bullard, J. (1994) Learning equilibria. Journal of Economic Theory 64, 468-485.
12. Bunow, B. & G.H. Weiss (1979) How chaotic is chaos? Chaotic and other noisy dynamics in the frequence domain. Mathematical Biosciences 47, 221-237.
13. Chatterji, S. & S. Chattopadhyay (1996) Global Stability in Spite of Local Instability with Learning in General Equilibrium Models. Working paper, Universidad de Alicante.
14. Devaney, R.L. (1989) An Introduction to Chaotic Dynamical Systems, 2nd ed. Redwood City: Addison-Wesley.
15. Evans, G. W. & S. Honkapohja (1994) On the local stability of sunspot equilibria under adaptive learning rules. Journal of Economic Theory 64, 142-161.
16. Evans, G.W & S. Honkapohja (1995) Local convergence of recursive learning to steady states and cycles in stochastic nonlinear models. Econometrica 63, 195-206.
17. Ezekiel, M. (1938) The cobweb theorem. Quarterly Journal of Economics 52, 255-280.
18. Fourgeaud, C., C. Gourieroux & J. Pradel (1986) Learning procedures and convergence to rationality. Econometrica 54, 845-868.
19. Grandmont, J.-M. (1985) On endogenous competitive business cycles. Econometrica 53, 995-1045.
20. Grandmont, J.-M. (1994) Expectations Formation and Stability in Large Socioeconomic Systems. CEPREMAP working paper 9424.
21. Grandmont, J.-M. & G. Laroque (1991) Economic dynamics with learning: Some instability examples. In W.A. Barnett, B. Cornet, C. d'Aspermont, J.J. Gabszewicz, and A. Mas Colell (eds.), Equilibrium Theory and Applications, Proceedings of the Sixth International Symposium in Economic Theory and Econometrics. Cambridge: Cambridge University Press.
22. Guckenheimer, J. & P. Holmes (1983) Nonlinear Oscillations, Dynamical Systems and Bifurcations of Vector Fields. New York: Springer Verlag.
23. Hall, P. & R.C.L. Wolff (1993), On the Strength of Dependence of a Time Series Generated by a Chaotic Map. Technical report 93-20, University of Glasgow.
24. Hommes, C.H. (1991) Adaptive learning and roads to chaos: The case of the cobweb. Economics Letters 36, 127-132.
25. Hommes, C.H. (1994) Dynamics of the cobweb model with adaptive expectations and nonlinear supply and demand. Journal of Economic Behavior and Organization 24, 315-335.
26. Hommes, C.H. (1998) On the consistency of backward looking expectations: The case of the cobweb. Journal of Economic Behavior and Organization 33, 333-362.
27. Hommes, C.H. & A. van Eekelen (1996) Partial equilibrium analysis in a noisy chaotic market. Economics Letters 53, 275-282.
28. Hommes, C.H. & G. Sorger (1998) Consistent Expectations Equilibria in OLG Economies. Working paper, University of Amsterdam/Vienna (in preparation).
29. Kurz, M. (1994) On rational belief equilibria. Economic Theory 4, 859-876.
30. Lasota, A. & M.C. McKay (1985) Probabilistic properties of deterministic systems. Cambridge, England: Cambridge University Press.
31. Lasota, A. & J.A. Yorke (1973) On the existence of invariant measures for piecewise linear transformations. Transactions of the American Mathematical Society 186, 481-488.
32. Lucas, R.E. (1971) Econometric testing of the natural rate hypothesis. In O. Eckstein (ed.), The Econometrics of Price Determination Conference. Washington, DC: Board of Governors of the Federal Reserve System and Social Science Research Council.
33. Marcet, A. & J.P. Nicolini (1995) Recurrent Hyperinflations and Learning. Working paper, Universidad Pompeu Fabra.
34. Marcet, A. & T.J. Sargent (1989) Convergence of least squares learning mechanisms in self referential linear stochastic models. Journal of Economic Theory 48, 337-368.
35. Marimon, R. (1996) Learning from Learning in Economics. ECO working paper 96/12, European University Institute.
36. Milnor, J. (1985) On the concept of attractor. Communications in Mathematical Physics 99, 177-195.
37. Muth, J.F. (1960) Optimal properties of exponentially weighted forecasts. Journal of the American Statistical Association 55, 299-306.
38. Muth, J.F. (1961) Rational expectations and the theory of price movements. Econometrica 29,315-335.
39. Nerlove, M. (1958) Adaptive expectations and cobweb phenomena. Quarterly Journal of Economics 72, 227-240.
40. Nerlove, M., D.M. Grether & J.L. Carvalho (1979) Analysis of Economic Time Series: A Synthesis. New York: Academic Press.
41. Palis, J. & F. Takens (1993) Hyperbolicity and Sensitive Chaotic Dynamics at Homoclinic Bifurcations. Cambridge, England: Cambridge University Press.
42. Sakai, H. & H. Tokumaru (1980) Autocorrelations of a certain chaos. IEEE Transactions on Acoustics, Speech and Signal Processing 28, 588-590.
43. Sargent, T.J. (1971) A note on the "accelerationist" controversy. Journal of Money, Credit and Banking 8, 721-725.
44. Sargent, T.J. (1993) Bounded Rationality in Macroeconomics. Oxford: Clarendon Press.
45. Schönhofer, M. (1996) Chaotic Learning Equilibria. Discussion paper 317, University of Bielefeld.
46. Sorger, G. (1998) Imperfect foresight and chaos: An example of a self-fulfilling mistake. Journal of Economic Behavior and Organization 33, 363-383.
47. Woodford, M. (1990) Learning to believe in sunspots. Econometrica 58, 277-307.