Rational expectations

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  • SEEING THE INVISIBLE: A TEST OF RATIONAL EXPECTATIONS IN THE VALUATION OF HUMAN CAPITAL Preferred districts need not have particularly effective schools, however, when peer group enters into parental valuations, as wealthy families can be “stuck” in ineffective schools by their unwillingness to abandon the peer group offered. For parental valuations that place substantial weight on school effectiveness, this becomes less likely as Tiebout choice increases parents’ exit options.

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  • The model used–an extension of the log-linear dividend-price ratio model of Campbell and Shiller (1988, 1989)–facilitates a straightforward test of these alternatives in a linear regression with the log price-earnings ratio as dependent variable. The regression results suggest that the correlation between the price-earnings ratio and expected inflation is the result of both effects; that is, an increase in expected inflation reduces equity prices because it is associated with both lower expected real earnings growth and higher required real returns.

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  • During the last decade, hedge funds have become one of the most important institutional investors in global financial markets. Although their activities have been viewed critically by regulators, politicians, and the public, this negative perspective is often based more on myth than on thorough economic analysis and empirical facts. Most people lack the necessary information and understanding of the role that hedge funds play in financial markets. Blaming them for the financial crisis or other market turbulences is often based on specific conjectures and not on rigorous research.

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  • Long term interest rates play an important role in economics and Önance due to their impact on real activity. Nevertheless, it is widely recognized that forecasting their level is di¢ cult. In the same way, modelling their link to monetary policy is not so easy even if this relationship appears crucial, as emphasized by Goodfriend (1993) for the United States. Similarly the same di¢ culty concerns the rational expectations hypothesis framework in which most empirical analyses of the term structure of interest rates are conducted.

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  • The third result links this permanent component to monetary authorities behaviour. Recently, G¸rkaynak, Sack and Swanson (2003) show that the change in expectations of the long-run ináation rate by private agents depend on macroeconomic and monetary surprises. Moreover, the relationship between ináation, interest rates and monetary policy has been studied for a long time and, for example, since the seminal paper of Mankiw and Miron (1986), a signiÖcant number of papers have studied the relationship between monetary policy and the rational expectations theory....

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  • In this book we try to present a balanced overview of modern macroeconomic theory. We have adhered to two guiding principles in writing this book. First, we have adopted a rather eclectic approach by paying attention not just to the most recent insights in the field but also to developments that are currently less fashionable. In doing so we hope to provide the students with a better overview of current and past debates in macroeconomic theory.

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  • In a competitive world of symmetric information and costless enforcement, credit contracts could be written conditional on borrower behavior. Borrowers would then have access to loans under any interest rate-collateral combination that would yield lenders a zero expected profit. However, as a large literature has shown, information asymmetries and enforcement costs make such conditional contracting infeasible and restrict the set of available contracts, eliminating as incentive incompatible high interest rate, low collateral contracts.

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  • The natural question is whether these heterogeneous expectations co-evolve into homogeneous rational-expectations beliefs, upholding the efficient-market theory, or whether richer individual and collective behavior emerges, upholding the traders’ viewpoint and explaining the empirical market phenomena mentioned above. We answer this not analytically—our model with its fully heterogeneous expectations it is too complicated to admit of analytical solutions—but computationally.

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  • Moreover, the necessity of taking into account monetary policy in the rational expectations framework has been demonstrated in particular by the seminal work of Mankiw and Miron (1986) for the short end of the term structure. For the long part of the term structure, Fuhrer (1996), without specifying any process for the perception of regime shifts by agents, has shown that the expectations hypothesis can be accepted for the long part of the yield curve if we allow some small and discrete changes in the coe¢ cients of the reaction function for the Federal Reserve System.

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  • With many economies in fiscal consolidation mode, there has been an intense debate about the size of fiscal multipliers. At the same time, activity has disappointed in a number of economies undertaking fiscal consolidation. A natural question therefore is whether forecasters have underestimated fiscal multipliers, that is, the short-term effects of government spending cuts or tax hikes on economic activity.

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  • The picture of the market that results from our experiments, surprisingly, confirms both the efficient- market academic view and the traders’ view. But each is valid under different circumstances—in different regimes. In both circumstances, we initiate our traders with heterogeneous beliefs clustered randomly in an interval near homogeneous rational expectations. We find that if our agents adapt their forecasts very slowly to new observations of the market’s behavior, the market converges to a rational-expectations regimes.

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  • Much of my market design philosophy stems from a desire to understand the impact of agent interactions and group learning dynamics in a financial setting. While agent-based markets have many goals, I see their first scientific use as a tool for understanding the dynamics in relatively traditional economic models. It is these models for which economists often invoke the heroic assumption of convergence to rational expectations equilibrium where agents’ beliefs and behavior have converged to a self-consistent world view.

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  • Why do smart people make irrational decisions every day? The answers will surprise you. Predictably Irrational is an intriguing, witty and utterly original look at why we all make illogical decisions.

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  • "The Management of Mergers and Acquisitions is far away from the perfect, polished presentations of the merchant bankers in which value creation is all too often just the result of a well-executed PowerPoint presentation. Philippe Very takes us into the real world where management is the key word - management of the expected and the unexpected, of rationality and emotions, of processes and people. He combines the expertise of the researcher with live business cases.

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  • "The Management of Mergers and Acquisitions is far away from the perfect, polished presentations of the merchant bankers in which value creation is all too often just the result of a well-executed PowerPoint presentation. Philippe Very takes us into the real world where management is the key word - management of the expected and the unexpected, of rationality and emotions, of processes and people. He combines the expertise of the researcher with live business cases.

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  • SYSTEM DESIGN AND CONSUMER BEHAVIOR IN ELECTRONIC COMMERCE Hanushek cautions: “If the efficiency of our school systems is due to poor incentives for teachers and administrators coupled with poor decisionmaking by consumers, it would be unwise to expect much from programs that seek to strengthen ‘market forces’ in the selection of schools,” (1981, p. 34-35; emphasis added). Moreover, if students’ outcomes depend importantly on the characteristics of their classmates (i.e.

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  • Performance evaluation measures the skill of an asset manager and its principal idea is to compare the returns with an alternative appropriate portfolio to that which was obtained in a particular case. The emergence of modern portfolio theory (MPT) by Markowitz (1952), who quantifies how rational investors make decisions based on expected return and risk, has brought much development to portfolio performance measurement.

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  • Chapter 34 NEW ECONOMETRIC APPROACHES TO STABILIZATION POLICY IN STOCHASTIC MODELS OF MACROECONOMIC FLUCTUATIONS During the last 15 years econometric techniques for evaluating macroeconomic policy using dynamic stochastic models in which expectations are consistent, or rational, have been developed extensivel

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  • Amat (1992) also differentiates two control perspectives. In the first place, a limited perspective of the control concept, which can be understood as analysis a posteriori and in monetary terms of the effectiveness of the management by the different person in charge of the company, in relation to the results that were expected to be obtained or to the predetermined objectives. In this perspective, control is developed rationally and isolated from its context (people, culture, environment), and it is ensured by comparing the results obtained with those expected.

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