Learning and time-varying macroeconomic volatility

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.

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Year of publication:	2014
Authors:	Milani, Fabio
Published in:	Journal of Economic Dynamics and Control. - Elsevier, ISSN 0165-1889. - Vol. 47.2014, C, p. 94-114
Publisher:	Elsevier
Subject:	Adaptive learning \| Constant gain \| Monetary policy \| Macroeconomic volatility \| Inflation dynamics

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Type of publication:	Article
Classification:	C11 - Bayesian Analysis ; D84 - Expectations; Speculations ; E30 - Prices, Business Fluctuations, and Cycles. General ; E52 - Monetary Policy (Targets, Instruments, and Effects) ; E58 - Central Banks and Their Policies ; E66 - General Outlook and Conditions
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011051878