In a model of incomplete, heterogeneous information, with externalities and strategic interactions, we analyze the possibility for learning to act as coordination device. We build on the framework proposed by Angeletos and Pavan (2007) and extend it to a dynamic multiperiod setting where agents...

This work analyses the implications, in terms of determinacy and E-stability of equilibrium, of a policy rule that responds to private sector expectations in forward looking models. In the literature, this type of policy has been both recommended and criticized. We try to understand the reasons...

In this work we analyze a credit economy à la Kiyotaki and Moore (JPE, 1997) enriched with learning dynamics. Both borrowers and lenders need to make expectations about the future price of the collateral, and under heterogeneous learning this can have interesting consequences for the economy...

Previous literature has shown that, in a New Keynesian model, an expectations based policy rule induces E-stability of the fundamental equilibrium, while a fundamentals based one does not. We derive an alternative rule, based only on fundamentals, which can also achieve stability of equilibrium...

In this article, we investigate the possibility of sunspot equilibria to emerge from a process of learning and adaptation on agents’ beliefs. We consider both finite state Markov sunspots and sunspots in autoregressive form, and derive conditions for the existence of an heterogeneous...

The literature on bounded rationality and learning in macroeconomics has often used recursive algorithms such as least squares and stochastic gradient to depict the evolution of agents' beliefs over time. In this work, we try to assess the plausibility of such practice from an empirical...

Stylized facts about statistical properties for short horizon returns in financial markets have been identified in the literature, but a common cause for their manifestation has yet to be found. We show that a simple asset pricing model with representative agent and rational expectations is able...

In this paper we investigate the possibility of sunspot equilibria to emerge from a process of learning and adaptation on agents' beliefs. To such end, we consider both …finite state Markov sunspots and sunspots in autoregressive form and derive conditions for the existence of an heterogeneous...

We provide a critical review on the methods previously adopted into the literature of learning and expectations in macroeconomics in order to initialize its underlying learning algorithms either for simulation or empirical purposes. We find that none of these methods is able to pass the sieve of...