Computing sunspot equilibria in linear rational expectations models

被引:109
作者
Lubik, TA
Schorfheide, F
机构
[1] Univ Penn, Dept Econ, Philadelphia, PA 19104 USA
[2] Johns Hopkins Univ, Dept Econ, Baltimore, MD 21218 USA
关键词
sunspots; indeterminacy; rational expectations; computational methods;
D O I
10.1016/S0165-1889(02)00153-7
中图分类号
F [经济];
学科分类号
02 ;
摘要
We provide a computationally simple method of analyzing the effects of fundamental and sunspot shocks in linear rational expectations models when the equilibrium is indeterminate. Under indeterminacy sunspots can affect model dynamics through endogenous forecast errors. Moreover, the effect of fundamental shocks on forecast errors is not uniquely determined. The solution method is illustrated with a New Keynesian dynamic stochastic equilibrium model that can be solved analytically. Under a passive interest-rate rule, the response of inflation to an unanticipated interest rate cut is ambiguous: there arc some equilibria in which inflation increases and others in which prices fall. (C) 2002 Elsevier B.V. All rights reserved.
引用
收藏
页码:273 / 285
页数:13
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