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Adaptive Learning in Macroeconomics
The page was last updated in August
2009, when the ESRC project “Learning and Macroeconomic Policy” was completed. Current research on adaptive
learning and applications
This page lists completed papers and ongoing research
on adaptive learning (post 2001), with corresponding links whenever available.
The papers are organised first by whether they are published or are mimeos and
then by year. For papers before 2001, see “Learning and Expectations in
Macroeconomics”, by G. Evans and S. Honkapohja. Published Papers
2001 | 2002
| 2003 | 2004 | 2005
| 2006 | 2007 | 2008 | 2009 | Forthcoming Unpublished Manuscripts
2002 | 2003 |
2004 | 2005 | 2006
| 2007
| 2008
| 2009 Published Papers
2001
Adam, K., "Learning While Searching for the
Best Alternative", Journal
of Economic Theory, Vol. 101, 252-280, 2001 Bullard, J. and Duffy, J.,
"Learning and Excess Volatility", Macroeconomic Dynamics 5, 303-325, 2001 Evans, G.,
"Expectations in Macroeconomics: Adaptive vs. Eductive
Learning", Revue Economique 52, No. 3,
573-582, 2001 Evans, G., Honkapohja, S., and Marimon, R.,
"Convergence in Monetary Inflation
Models with Heterogeneous Learning Rules", Macroeconomic Dynamics, 2001 2002
Branch, W., "Local convergence properties of a
cobweb model with rationally heterogeneous expectations", Journal of Economic Dynamics & Control
27, 63–85, 2002 Bullard, J. and Mitra, K., "Learning About
Monetary Policy Rules", Journal of Monetary Economics 49, 1105-1129, 2002 Cho, 2003
Adam, K., "Learning
and Equilibrium Selection in a Monetary Overlapping Generations Model with
Sticky Prices", Review of Economic Studies, Vol. 70(4), 887-908,
2003" Evans, G. and Guesnerie, R., "Coordination on Saddle Path
Solutions: the Eductive Viewpoint -- Linear Univariate Models", Macroeconomic Dynamics 7, 42-62, 2003 Evans, G. and Honkapohja, S., "Adaptive Learning and Monetary
Policy Design", Journal
of Money, Credit and Banking 35, 1045-1072, 2003 Evans, G. and Honkapohja, S., "Expectations and the Stability
Problem for Optimal Monetary Policy", Review of Economic Studies
70, 807-824, 2003 Evans, G. and Honkapohja, S., "Friedman's Money Supply Rule vs.
Optimal Interest Rate Policy", Scottish Journal of Political Economy
50, 550-566, 2003 Evans, G. and Honkapohja, S., "Expectational Stability of Stationary Sunspot Equilibria
in a Forward-looking Model", Journal of Economic Dynamics and
Control 28, 171-181, 2003 Evans, G. and Honkapohja, S., "Existence of Adaptively Stable
Sunspot Equilibria near an Indeterminate Steady State",
Journal of Economic Theory 111, 125-134, 2003 Georges, C., “Adjustment costs, learning, and
indeterminacy”, Journal of Economic Dynamics and Control 28, 101-116, 2003 Giannitsarou, C., "Heterogeneous Learning", Review of Economic Dynamics, 6, pp. 885-906,
2003 Honkapohja, S. and Mitra, K, "Learning with Bounded Memory in
Stochastic Models", Journal
of Economic Dynamics and Control, 27(8), pp. 1437-1457, 2003 Lettau, M., and VanZandt, T.,
"Robustness of Adaptive Expectations as an Equilibrium Selection
Device", Macroeconomic Dynamics 7, 89-118, 2003 Marcet, A. and Nicolini, J. P.,
"Recurrent Hyperinflations and Learning", American Economic Review,
93(5), pp. 1476-1498, 2003 McCallum, B., "Multiple-Solution Indeterminacies in
Monetary Policy Analysis", Journal of Monetary Economics 50, 1153-1175, 2003 McCallum, B., "Is the
Fiscal Theory of the Price Level Learnable?", Scottish
Journal of Political Economy 50, 634-649, 2003 McGough, B., "Statistical Learning with Time-Varying
Parameters", Macroeconomic Dynamics, Feb. 2003 Mitra, K., “Desirability of Nominal GDP Targeting Under
Adaptive Learning”, Journal of Money, Credit, and Banking, 35, 197-220,
2003 2004
Branch, W., "The
Theory of Rationally Heterogeneous Expectations: Evidence From
Survey Data on Inflation Expectations", The Economic Journal 114,
592–621, 2004. Branch, W. and McGough, B., "Multiple Equilibria
in Heterogeneous Expectations Models", Contributions to Macroeconomics,
BE-Press, 2004, Vol. 4, Issue 1, Article 12. Honkapohja, S. and Mitra, K., "Are non-fundamental equilibria learnable in models of monetary policy?", Journal of Monetary Economics, Volume
51, Issue 8, November 2004, Pages 1743-1770. Kasa, K., “Learning, Large Deviations, and Recurrent Currency Crises”, International
Economic Review 45, 141-173, 2004. McCallum, B.,
"Consistent Expectations, Rational Expectations, Multiple-Solution
Indeterminacies, and Least-Squares Learnability,"
in Money Matters: Essays in Honour of Alan Walters, ed.
By Patrick Minford. Edward Elgar Publishing,
2004, pp. 11-34. 2005
Branch, W. and McGough, B., "Consistent Expectations and Misspecification in Stochastic Non-linear Economies", Journal of Economic Dynamics and Control 29, p. 659 – 676, 2005 Bullard, J. and Cho, Bullard, J. and Eusepi, S., "Did the Great Inflation Occur
Despite Policymaker Commitment to a Taylor Rule?”, Review of Economic Dynamics 8, 324-359, 2005 Evans, G. and Guesnerie, R., "Coordination on Saddle-Path
Solutions: the Eductive Viewpoint - Linear
Multivariate Models", Journal
of Economic Theory 124, pp. 202-229 Evans, G. and Honkapohja, S., "Policy Interaction, Expectations and
the Liquidity Trap", Review of
Economic Dynamics 8, 303-323, 2005 Evans, G. and McGough, B., "Monetary Policy, Indeterminacy and
Learning", Journal
of Economic Dynamics and Control 29, 1809-1840, 2005 Evans, G. and McGough, B., "Indeterminacy and the Stability Puzzle
in Non-Convex Economies", Contributions to Macroeconomics, Vol. 5,
Issue 1, Article 8, 2005 Evans, G. and McGough, B., "Stable Sunspot Solutions in Models
with Predetermined Variables", Journal of Economic Dynamics and Control 29, 601-625,
2005 Evans, G. and McGough, B., "Monetary Policy and Stable
Indeterminacy with Inertia", Economics Letters 87, 1-7, 2005 Giannitsarou, C., "E-stability
Does Not Imply Learnability", Macroeconomic
Dynamics 9, 276-287, 2005 Guse,E., "Stability Properties for Learning
with Heterogeneous Expectations and Multiple Equilibria", Journal of Economic Dynamics and Control
29, 1623-1642, 2005. Honkapohja, S. and Mitra, K., "Performance of monetary policy with
internal central bank forecasting", Journal of Economic Dynamics and Control, Volume 29,
Issue 4, April 2005, Pages 627-658 Honkapohja, S. and Mitra, K., "Performance of inflation targeting
based on constant interest rate projections", Journal of Economic Dynamics and Control,
Volume 29, Issue 11, November 2005, Pages 1867-1892 Orphanides, A. and Williams, J., "The Decline of Activist
Stabilization Policy: Natural Rate Misperceptions, Learning, and Expectations", Journal of Economic Dynamics and Control,
November 2005, 1927-1950 Orphanides, A. and Williams, J., "Inflation Scares and Monetary Policy", Review of Economic Dynamics, April
2005, 498-527 Orphanides, A. and Williams, J., "Imperfect Knowledge,
Inflation Expectations, and Monetary Policy", in Ben S. Bernanke and
Michael Woodford (ed.) The Inflation-Targeting Debate,
Chicago: Sargent, T., Williams, N., "Impacts of Priors on Convergence and
Escape from Nash Inflation", Review of Economic Dynamics 8, 360-391, 2005 Williams, J., "Robust
Estimation and Monetary Policy with Unobserved Structural Change", in Jon
Faust, Athanasios Orphanides,
and David Reifschneider (ed.) Models and Monetary
Policy: Research in the Tradition of Dale Henderson, Richard Porter, and Peter
Tinsley, 2006
Adam, K., Evans, G., and Honkapohja, S., "Are Hyperinflation Paths Learnable?", Journal of Economic Dynamics and Control 30, 2725-2748 Aoki, K. and Nikolov, K., “Rule-Based Monetary Policy under Central Bank
Learning”, in Richard Clarida, Jeffrey Frankel and Francesco Giavazzi, Editors, International Seminar on Macroeconomics,
NBER, 2006 Branch, W., "Restricted Perceptions Equilibria
and Learning in Macroeconomics", in Post Walrasian Macroeconomics:
Beyond the Dynamic Stochastic General Equilibrium Model, ed. David Colander, Branch, W. and Evans, G.,
"Intrinsic Heterogeneity in
Expectation Formation", Journal of Economic Theory 127, pp. 264-295, 2006 Branch, W. and Evans, G.,
"A Simple Recursive Forecasting Model", Economic Letters 91, pp. 158-166, 2006 Evans, G., Honkapohja, S., “Monetary Policy, Expectations and
Commitment”, Scandinavian Journal of
Economics 108, 15-38, 2006 Evans, G. and Ramey, G.,
"Adaptive Expectations, Underparameterization and the Lucas Critique", Journal of Monetary Economics 53, pp. 249-264, 2006 Giannitsarou, C., "Supply-Side Reforms and Learning
Dynamics", Journal
of Monetary Economics 53, 231 – 306, 2006 Honkapohja, S. and Mitra, K., "Learning Stability in Economies with
Heterogenous Agents", Review of Economic Dynamics 9,
284-309, 2006 Honkapohja, S., Mitra,
K., Learning of Steady States in
Nonlinear Models When Shocks Follow a Markov Chain, in Schultz, C. and K. Vind (eds.): "Institutions, Equilibria
and Efficiency: Essays in Honor of Birgit Grodal", Springer-Verlag,
Berlin, 2006, 161-172 McGough, B., "Shocking Escapes", Economic
Journal 116, 507-528. Orphanides, A. and Williams, J., "Monetary Policy with
Imperfect Knowledge", Journal of the European Economic Association
Papers and Proceedings, forthcoming, 2006 Orphanides, A. and Williams, J., "Monetary Policy with
Imperfect Knowledge", Journal of the European Economic Association Papers
and Proceedings, April/May 2006 Waters, G., "Dangers of Commitment: Monetary Policy with Adaptive Learning", Journal of Economics and Finance 30, 93-104,
2006 Williams, J., “Monetary Policy in a Low Inflation
Economy with Learning,” in Monetary Policy in an Environment of Low Inflation;
Proceedings of the Bank of Korea International Conference 2006, The Bank of
Korea, 199-228, 2006. 2007
Adam, K. “Experimental Evidence on the
Persistence of Output and Inflation”, The
Economic Journal 117, 603-636. Berardi, M. “
Heterogeneity and misspecifications in learning”, Journal of Economic
Dynamics and Control 31, 3203-3227 . Berardi, M. and Duffy, J. “The value of
central bank transparency when agents are learning”, European Journal of
Political Economy 23, 9-29. Branch, W., "Sticky Information and Model
Uncertainty in Survey Data on Inflation Expectations", Journal
of Economic Dynamics and Control 31, 245-276. Branch, W. and Evans, G.,
"Model Uncertainty and Endogenous
Volatility", Review of Economic Dynamics 10, 207-237 Branch, W. and McGough, B., "Replicator
Dynamics in a Cobweb Model with Rationally Heterogeneous Expectations",
Journal of Economic Behavior & Organization
65, 224-244 Bullard, J., and Mitra, K., "Determinacy, Learnability,
and Monetary Policy Inertia", Journal of Money, Credit,
and Banking 39, 1177-1212 Carceles-Poveda, E. and Giannitsarou, C.,
"Adaptive Learning in Practice", Journal
of Economic Dynamics and Control 31, 2659-2697. Carceles-Poveda, E. and Giannitsarou, C., "Asset Pricing with Adaptive Learning", Review
of Economic Dynamics 11, 629-651 Duffy, J and Xiao, W., "Instability of Sunspot Equilibria in Real Business Cycle Models Under Adaptive Learning", Journal of Monetary Economics 54, 879-903 Edge, R., T. Laubach,
and J. Williams, “Learning and Shifts in Long-Run
Productivity Growth", Journal
of Monetary Economics 54, 2421-2438 Evans, G. and Honkapohja, S., "Policy Interaction, Learning and the
Fiscal Theory of Prices", Macroeconomic Dynamics
11, 665-690. Evans, G. and Honkapohja, S., "The
E-Correspondence Principle", Economica
74, 33-50. Evans, G., Honkapohja,
S. and Marimon, R., "Stable Sunspot Equilibria
in a Cash-in-Advance Economy", The B.E. Journal of Macroeconomics 2007, vol.7, Iss.1
(Advances), Article 3. Evans, G. and McGough, B., “Optimal
Constrained Interest-rate Rules", Journal
of Money, Credit and Banking 39, 1335-1356 Ferrero, G., "Monetary
Policy, Learning and the Speed of Convergence", Journal of Economic Dynamics and Control 31, 3006-3041. Georges, C., “Bounded
memory, overparameterized forecast rules, and
instability”, Economics Letters
98, 129-135 Granato, J., Guse,
E., and Wong, S., “Learning from the Expectations of
Others”, Macroeconomic Dynamics 12, 345-377 Guse, E., "Learning in a Misspecified
Multivariate Self-referential Linear Stochastic Model", Journal
of Economic Dynamics and Control 32 ,1517-1542 Honkapohja, S. and Turunen-Red, A., “Increasing
Returns, Learning and Beneficial Tax Competition”, Journal of Public Economic Theory 9, 927-958. Orphanides, A. and Williams, J., "Inflation Targeting under
Imperfect Knowledge", in Frederic Mishkin and
Klaus Schmidt-Hebbel (ed.) Monetary Policy under Inflation Targeting, Central
Bank of Chile. Orphanides, A. and Williams, J., "Robust Monetary Policy with
Imperfect Knowledge", Journal of Monetary
Economics 54 ,1406-1435 Parke, W. and Waters, G., "An Evolutionary Game Theory
Explanation of ARCH Effects", Journal of Economic
Dynamics and Control 31, 2234-2262. Waters, G., "Regime Changes, Learning and
Monetary Policy", Journal
of Macroeconomics 29, 255-282. 2008
Evans, G. and Honkapohja, S., “Learning in Macroeconomics”, The New Palgrave Dictionary of
Economics. Rudebusch, G. and J. Williams, “Revealing the Secrets of
the Temple: The Value of Publishing Central Bank Interest Rate Projections,”,
in John Y. Campbell (ed.) Asset Prices and Monetary Policy, University of
Chicago Press, 2008. 2009
Nunes, R., "Learning the Inflation Target", Macroeconomic
Dynamics 13, 167-188. Forthcoming
Unpublished manuscripts
2002
Cho, Evans, G. and McGough, B., "Stable
Noisy K-State Markov Sunspots", July, 2002 McCallum, B., "The Unique Minimum State Variable RE Solution is E-Stable
in All Well Formulated Linear Models", November 2002 McGough, B., "A Numerical Approach to Learning with Time-Varying Parameters", April, 2002 2003
Berardi, M., “Escape dynamics and policy specification”, 2003 Evans, G., Honkapohja, S.
and Mitra, K., "Notes on Agents’ Behavioral Rules Under
Adaptive Learning and Recent Studies of Monetary Policy", March 2003 Williams, N., "Adaptive
Learning and Business Cycles", January 2003 2004
Berardi, M., “Expectations, learning and policy rule”, 2004 Bullard, J. and Duffy, J., "Learning and Structural Change in Macroeconomic Data", August 2004 Milani, F., "Expectations, Learning and
Macroeconomic Persistence", Nov 2004 Williams, N., "Escape Dynamics in Learning Models", June 2004 2005
Berardi,
M. “Monetary policy with heterogeneous and misspecified expectations”, 2005 Bullard, J., Evans, G. and Honkapohja, S.,
"Near-Rational Exuberance", September 2005 Cho, Cho, Duffy, J. and Xiao, W., "The Value of Interest Rate Stabilization Policies When Agents are Learning," November 2005 Evans, G., Honkapohja,
S. and Williams, N., "Generalized Stochastic Gradient Learning", September 2005 McCulloch, H., "The Kalman Foundations of
Adaptive Least Squares", August 2005 Milani, F., "Adaptive
Learning and Inflation Persistence", Feb 2005 Milani, F., "Learning, Monetary Policy Rules,
and Macroeconomic Stability", April 2005 Waters, G., "Learning, Commitment and Monetary Policy: the case for partial commitment", September 2005 2006
Branch, W., Carlson, J., Evans, G. and McGough, B., "Adaptive Learning, Endogenous Inattention and Changes
in Monetary Policy," June 2006. Chakraborty, A. and Evans, G., "Can Perpetual Learning explain the Forward Premium
Puzzle?", June 2006. Davies, R., and Shea, P., “Adaptive Learning with a Unit Root: An Application to
the Current Account”, July 2006 Dennis, R., and Evans, G. and McGough, B.,
"Implementing Optimal Monetary Policy in New Keynesian
Models with Inertia", June 2006 Guse, E., "Heterogeneous
Expectations, Adaptive Learning, and Evolutionary Dynamics”, November 2006 McCulloch, H., “Learning About Volatility: The
Local Scale Model with Homoskedastic Innovations,
with Application to Stock Returns", October 2006 Parke, W. and Waters, G., "An Evolutionary Route to Rational Expectations", March 2006 Shea, P., “Short-Sighted Managers and Self-Fulfilling Business
Cycles”, October 2006 Shea, P., “Real-Time Rational Expectations, and Indeterminacy”, August 2006 Shea, P., “An Empirical Search for Learnable Sunspots”, October 2006 Shea, P., “Multiple, Multiple Equilibria
and Consistent Conjectures”, September 2006 Waters,
G., "Chaos in the
Cobweb Model with a New Learning Dynamic", December 2006 2007
Bullard, J., Evans, G.,
and Honkapohja, S., “A
Model of Near-Rational Exuberance”,
February 2007 Bullard, J., Evans, G.,
and Honkapohja, S., “Monetary
Policy, Judgment and Near-Rational Exuberance”, February 2007. Chakraborty, A., “Learning, the Forward Premium Puzzle and Market Efficiency”, January 2007. Duffy, J. and Xiao, W. "Investment and Monetary Policy: Learning and Determinacy of Equilibrium", July 2007. Evans, G., Guse, E., and Honkapohja,
S., “Liquidity
Traps, Learning and Stagnation”,
June 2007. Evans, G., Honkapohja, S., and Mitra, K., “Anticipated Fiscal Policy and Adaptive Learning”, March 2007. McKibbin,
W. J. and Tan,
K. Y. “Learning
and International Transmission of Shocks”, January 2007 Muto, 2008
Muto, I. “Monetary
Policy and Learning from the Central Bank's Forecast”, January 2008 |
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