Thomas J Sargent
Datos Biográficos
| ID | 954807 |
|---|---|
| NOMBRE | Thomas J Sargent |
| NOMBRES | Thomas J |
| APELLIDO | Sargent |
| FIRMA | SARGENT T J |
| AFILIACIONES | Hoover Institution |
| ORCID | 0000-0002-5457-0944 |
| VERIFICADO | Sí |
| TOTAL DE OBRAS | 45 |
| TOTAL DE CITAS | 336 |
| TOTAL COMO AUTOR | 45 |
| TOTAL COMO EDITOR | 0 |
| PRIMER AÑO DE PUBLICACIÓN | 1967 |
| AÑO MÁS RECIENTE DE PUBLICACIÓN | 2025 |
| ÍNDICE H | 11 |
Managing Public Portfolios
Macroeconomics after Lucas
Risk, ambiguity, and misspecification
What are “deep uncertainties” and how should their presence influence prudent decisions? To address these questions, we bring ideas from robust control theory into statistical decision theory. Decision theory has its origins in axiomatic formulations by von Neumann and Morgenstern, Wald, and Savage. After Savage, decision theorists constructed axioms that formalize a notion of ambiguity aversion. Meanwhile, control theorists constructed decision …
Returns to Labour Mobility
Returns to labour mobility have too often escaped the attention they deserve as conduits of important forces in macro-labour models. These returns are shaped by calibrations of productivity processes that use theoretical perspectives and data sources from (i) labour economics and (ii) industrial organisation. By investigating earlier prominent studies, we conclude that the focus on firm size dynamics and shocks intermediated through neo-classical…
A framework for the analysis of self-confirming policies
This paper provides a general framework for analyzing self-confirming policies. We study self-confirming equilibria in recurrent decision problems with incomplete information about the true stochastic model. We characterize stationary monetary policies in a linear-quadratic setting
Debt and Entanglements Between the Wars
The seven chapters in this volume tell stories about correlated macroeconomic and political events that occurred in six countries and four Dominions of the British Commonwealth between 1914 and 1940. By a story, I mean a collection of observations ordered in time together with causal interpretations that come from projecting the observations onto a theory. Correlations among our stories arise partly from the international aspects of the events be…
Commodity and Token Monies
A government defines a dollar as a list of quantities of one or more precious metals. If issued in limited amounts, token money is a perfect substitute for precious metal money. Atemporal equilibrium conditions determine how quantities of precious metals and token monies affect an equilibrium price level. Within limits, a government can peg the relative price of two precious metals, confirming Fisher's (1911) response to a classic criticism of bi…
Short-Run and Long-Run Effects of Milton Friedman's Presidential Address
The centerpiece of Milton Friedman's (1968) presidential address to the American Economic Association, delivered in Washington, DC, on December 29, 1967, was the striking proposition that monetary policy has no longer-run effects on the real economy. Friedman focused on two real measures, the unemployment rate and the real interest rate, but the message was broader-in the longer run, monetary policy controls only the price level. We call this the…
Measuring Price-Level Uncertainty and Instability in the United States, 1850–2012
We measure price-level uncertainty and instability in the United States over the period 1850 to 2012. Major outbreaks of price-level uncertainty and instability occur both before and after World War II, alternating with three price-level moderations: one near the turn of the twentieth century, another under Bretton Woods, and a third in the 1990s. There is no evidence that the price level was systematically more stable or less uncertain before or…
Harrod 1939
Harrod's 1939 ‘Essay in Dynamic Theory' is celebrated as one of the foundational papers in the modern theory of economic growth. Linked eternally to Evsey Domar, he appears in the undergraduate and graduate macroeconomics curricula, and his ‘fundamental equation’ appears as the central result of the AK model in modern textbooks. Reading his Essay today, however, the reasons for his centrality are less clear. Looking forward from 1939, we see that…
Big Problem of Small Change
Wealth Dynamics in a Bond Economy with Heterogeneous Beliefs
We study an economy in which two types of agents have diverse beliefs about the law of motion for an exogenous endowment. One type knows the true law of motion, and the other learns about it via Bayes's theorem. Financial markets are incomplete, the only traded asset being a risk-free bond. Borrowing limits are imposed to ensure the existence of an equilibrium. We analyze how financial-market structure affects the distribution of financial wealth…
Recursive Models of Dynamic Linear Economies
A common set of mathematical tools underlies dynamic optimization, dynamic estimation, and filtering. This book uses these tools to create a class of econometrically tractable models of prices and quantities. The book presents examples from microeconomics, macroeconomics, and asset pricing. The models are cast in terms of a representative consumer. While the book demonstrates the analytical benefits acquired when an analysis with a representative…
Recursive Models of Dynamic Linear Economies
Nobel Lecture
Under the Articles of Confederation, the central government of the United States had limited power to tax. Therefore, large debts accumulated during the US War for Independence traded at deep discounts. That situation framed a US fiscal crisis in the 1780s. A political revolution—for that was what scuttling the Articles of Confederation in favor of the Constitution of the United States of America was—solved the fiscal crisis by transferring autho…
Where to Draw Lines
What kinds of assets should financial intermediaries be permitted to hold? What kinds of liabilities should they be allowed to issue? Should a government or a central bank offer explicit deposit insurance or implicit deposit insurance by acting as a lender of last resort? This paper reviews how tensions involving stability versus efficiency, and regulation versus laissez faire, have for centuries run through macroeconomic analysis of these questi…
The Conquest of South American Inflation
We infer determinants of Latin American hyperinflations and stabilizations by using the method of maximum likelihood to estimate a hidden Markov model that potentially assigns roles both to fundamentals in the form of government deficits that are financed by money creation and to destabilizing expectations dynamics that can occasionally divorce inflation from fundamentals. Our maximum likelihood estimates allow us to interpret observed inflation …
Diverse Beliefs, Survival and the Market Price of Risk
We study prices and allocations in a complete-markets, pure-exchange economy in which there are two types of agents with different priors over infinite sequences of the aggregate endowment. Aggregate consumption growth evolves exogenously according to a two-state Markov process. The economy has two types of agents, one that learns about transition probabilities and another that knows them. We examine allocations, the market price of risk and the …
The Conquest of South American Inflation
We infer determinants of Latin American hyperinflations and stabilizations by using the method of maximum likelihood to estimate a hidden Markov model that assigns roles both to fundamentals in the form of government deficits that are financed by money creation and to destabilizing expectations dynamics that can occasionally divorce inflation from fundamentals. Levels and conditional volatilities of monetized deficits drove most hyperinflations a…
Drifts and volatilities
The Big Problem of Small Change
The Big Problem of Small Change offers the first credible and analytically sound explanation of how a problem that dogged monetary authorities for hundreds of years was finally solved. Two leading economists, Thomas Sargent and François Velde, examine the evolution of Western European economies through the lens of one of the classic problems of monetary history--the recurring scarcity and depreciation of small change. Through penetrating and clea…
Optimal Taxation without State‐Contingent Debt
In an economy studied by Lucas and Stokey, tax rates inherit the serial correlation structure of government expenditures, belying Barro's earlier result that taxes should be a random walk for any stochastic process of government expenditures. To recover a version of Barro's random walk tax-smoothing outcome, we modify Lucas and Stokey's economy to permit only risk-free debt. Having only risk-free debt confronts the Ramsey planner with additional …
The European Unemployment Dilemma
Post‐World War II European welfare states experienced several decades of relatively low unemployment, followed by a plague of persistently high unemployment since the 1980s. We impute the higher unemployment to welfare states' diminished ability to cope with more turbulent economic times, such as the ongoing restructuring from manufacturing to the service industry, adoption of new information technologies, and a rapidly changing international eco…
Macroeconomic Features of the French Revolution
This paper describes aspects of the French Revolution from the perspective of theories about money and government budget constraints. The authors describe how unpleasant fiscal arithmetic gripped the Old Regime, how the Estates General responded to reorganize France's fiscal affairs, and how fiscal exigencies impelled the Revolution into a procession of monetary experiments ending in hyperinflation. Copyright 1995 by University of Chicago Press
Bounded Rationality in Macroeconomics
"Rational" Expectations, the Optimal Monetary Instrument, and the Optimal Money Supply Rule
Alternative monetary policies are analyzed in an ad hoc macroeconomic model in which the public's expectations about prices are rational. The ad hoc model is one in which there is long-run neutrality, since it incorporates the aggregate supply schedule proposed by Lucas. Following Poole, the paper studies whether pegging the interest rate or pegging the money supply period by period minimizes an ad hoc quadratic loss function. It turns out that t…
The European Unemployment Dilemma
Post‐World War II European welfare states experienced several decades of relatively low unemployment, followed by a plague of persistently high unemployment since the 1980s. We impute the higher unemployment to welfare states' diminished ability to cope with more turbulent economic times, such as the ongoing restructuring from manufacturing to the service industry, adoption of new information technologies, and a rapidly changing international eco…
Estimation of Dynamic Labor Demand Schedules under Rational Expectations
A dynamic linear demand schedule for labor is estimated and tested. The hypothesis of rational expectations and assumptions about the orders of the Markov processes governing technology impose overidentifying restrictions on a vector autoregression for straight-time employment, overtime employment, and the real wage. The model is estimated by the full-information maximum-likelihood method. The model is used as a vehicle for reexamining some of th…
A Classical Macroeconometric Model for the United States
A statistical definition of the natural unemployment rate hypothesis is advanced and tested. A particular illustrative structural macroeconomic model satisfying the definition is set forth and estimated. The model has "classical" policy implications, implying a number of neutrality propositions asserting the invariance of the conditional means of real variables with respect to the feedback rule for the money supply. The aim is to test how emphati…
Macroeconomic Features of the French Revolution
This paper describes aspects of the French Revolution from the perspective of theories about money and government budget constraints. The authors describe how unpleasant fiscal arithmetic gripped the Old Regime, how the Estates General responded to reorganize France's fiscal affairs, and how fiscal exigencies impelled the Revolution into a procession of monetary experiments ending in hyperinflation. Copyright 1995 by University of Chicago Press
The Real-Bills Doctrine versus the Quantity Theory
Two competing monetary policy prescriptions are analyzed within the context of overlapping generations models. The real-bills prescription is for unfettered private intermediation or central bank operations designed to produce the effects of such intermediation. The quantity-theory prescription, in contrast, is for restrictions on private intermediation designed to separate "money" from credit. Although our models are consistent with quantity-the…
Optimal Taxation without State‐Contingent Debt
In an economy studied by Lucas and Stokey, tax rates inherit the serial correlation structure of government expenditures, belying Barro's earlier result that taxes should be a random walk for any stochastic process of government expenditures. To recover a version of Barro's random walk tax-smoothing outcome, we modify Lucas and Stokey's economy to permit only risk-free debt. Having only risk-free debt confronts the Ramsey planner with additional …
Interpreting Economic Time Series
This paper explores some of the implications for econometric practice of the principle that people's observed behavior will change when their constraints change. In dynamic contexts, a proper definition of people's constraints includes among them laws of motion that describe the evolution of the taxes they must pay and the prices of the goods that they buy and sell. Changes in agents' perceptions of these laws of motion (or constraints) will in g…
Nobel Lecture
Under the Articles of Confederation, the central government of the United States had limited power to tax. Therefore, large debts accumulated during the US War for Independence traded at deep discounts. That situation framed a US fiscal crisis in the 1780s. A political revolution—for that was what scuttling the Articles of Confederation in favor of the Constitution of the United States of America was—solved the fiscal crisis by transferring autho…
Convergence of Least-Squares Learning in Environments with Hidden State Variables and Private Information
The authors study the convergence of recursive least-squares learning schemes in economic environments in which there is private information. The presence of private information leads to the presence of hidden state variables from the viewpoint of particular agents. By applying theorems of Lennart Ljung, the authors extend some of their earlier results to characterize conditions under which a system governed by least-squares learning will eventua…
Dynamic Macroeconomic Theory
Journal Article Dynamic Macroeconomic Theory Get access Dynamic Macroeconomic Theory. by THOMAS J. SARGENT. (Cambridge, Massachusetts & London: Harvard University Press, 1987. Pp. xii + 369. £27.95 hardback.)Exercises in Dynamic Macroeconomic Theory. By RODOLFO E. MANUELLI and THOMAS J. SARGENT. (Cambridge, Massachusetts & London: Harvard University Press, 1987. Pp. xi + 223. £15.50 paperback.) Kerry Patterson Kerry Patterson University of Readin…
The Observational Equivalence of Natural and Unnatural Rate Theories of Macroeconomics
Rational Expectations, Econometric Exogeneity, and Consumption
Estimates of a rational expectations version of Friedman's time-series consumption model are obtained by imposing the pertinent restrictions across the stochastic processes for consumption and income. A likelihood ratio test is used to test the adequacy of three joint hypotheses: namely, Friedman's model, rational expectations, and some arbitrary conditions on the disturbance process in the consumption function. The paper treats both the cases in…
Two Models of Measurements and the Investment Accelerator
This paper describes two models of an agency that is collecting and reporting observations on a dynamical linear stochastic economy. The first is a "classical" model, with the agency reporting data that are the sum of a vector of "true" variables and a vector of measurement errors that are orthogonal to the true variables. The second is a model of an agency that uses an optimal filtering method to construct least-squares estimates of the true var…
Social Choice
Journal Article Social Choice: A Probabilistic Approach Get access Oliver E. Williamson, Oliver E. Williamson Search for other works by this author on: Oxford Academic Google Scholar Thomas J. Sargent Thomas J. Sargent Search for other works by this author on: Oxford Academic Google Scholar The Economic Journal, Volume 77, Issue 308, 1 December 1967, Pages 797–813, https://doi.org/10.2307/2229568 Published: 01 December 1967
Wealth Dynamics in a Bond Economy with Heterogeneous Beliefs
We study an economy in which two types of agents have diverse beliefs about the law of motion for an exogenous endowment. One type knows the true law of motion, and the other learns about it via Bayes's theorem. Financial markets are incomplete, the only traded asset being a risk-free bond. Borrowing limits are imposed to ensure the existence of an equilibrium. We analyze how financial-market structure affects the distribution of financial wealth…
Diverse Beliefs, Survival and the Market Price of Risk
We study prices and allocations in a complete-markets, pure-exchange economy in which there are two types of agents with different priors over infinite sequences of the aggregate endowment. Aggregate consumption growth evolves exogenously according to a two-state Markov process. The economy has two types of agents, one that learns about transition probabilities and another that knows them. We examine allocations, the market price of risk and the …
Causality, Exogeneity, and Natural Rate Models
Short-Run and Long-Run Effects of Milton Friedman's Presidential Address
The centerpiece of Milton Friedman's (1968) presidential address to the American Economic Association, delivered in Washington, DC, on December 29, 1967, was the striking proposition that monetary policy has no longer-run effects on the real economy. Friedman focused on two real measures, the unemployment rate and the real interest rate, but the message was broader-in the longer run, monetary policy controls only the price level. We call this the…
Commodity and Token Monies
A government defines a dollar as a list of quantities of one or more precious metals. If issued in limited amounts, token money is a perfect substitute for precious metal money. Atemporal equilibrium conditions determine how quantities of precious metals and token monies affect an equilibrium price level. Within limits, a government can peg the relative price of two precious metals, confirming Fisher's (1911) response to a classic criticism of bi…
The Conquest of South American Inflation
We infer determinants of Latin American hyperinflations and stabilizations by using the method of maximum likelihood to estimate a hidden Markov model that potentially assigns roles both to fundamentals in the form of government deficits that are financed by money creation and to destabilizing expectations dynamics that can occasionally divorce inflation from fundamentals. Our maximum likelihood estimates allow us to interpret observed inflation …
The Conquest of South American Inflation
We infer determinants of Latin American hyperinflations and stabilizations by using the method of maximum likelihood to estimate a hidden Markov model that assigns roles both to fundamentals in the form of government deficits that are financed by money creation and to destabilizing expectations dynamics that can occasionally divorce inflation from fundamentals. Levels and conditional volatilities of monetized deficits drove most hyperinflations a…
Rational Expectations and Econometric Practice
Journal Article Rational Expectations and Econometric Practice Get access Rational Expectations and Econometric Practice. Edited by ROBERT E. LUCAS Jnr and THOMAS J. SARGENT (London: George Allen and Unwin, 1981. Pp. xi + 689. £25.00 hardback, £9.95 paperback.) Willem H. Buiter Willem H. Buiter London School of Economics and Political Science Search for other works by this author on: Oxford Academic Google Scholar The Economic Journal, Volume 93,…
Social Choice
Journal Article Social Choice: A Probabilistic Approach Get access Oliver E. Williamson, Oliver E. Williamson Search for other works by this author on: Oxford Academic Google Scholar Thomas J. Sargent Thomas J. Sargent Search for other works by this author on: Oxford Academic Google Scholar The Economic Journal, Volume 77, Issue 308, 1 December 1967, Pages 797–813, https://doi.org/10.2307/2229568 Published: 01 December 1967
Some Evidence on the Small Sample Properties of Distributed Lag Estimators in the Presence of Autocorrelated Disturbances
where ut is a random disturbance with zero mean. Koyck pointed out that subtracting Xyt-i from (1) produced the equation yt = A'+xyt_i+ bxt+ut' (2) where A' = A(1 -X) and ut' = ut -Xut1. Thus instead of being forced to deal with the model in its distributed lag form (1), which involves the seemingly intractable task of estimating a relation with an infinite number of explanatory variables from a finite amount of data, we can estimate the paramete…
Interest Rates in the Nineteen-Fifties
ECONOMISTS have recently begun to devote an increasing amount of attention to the relationships among interest rates on various instruments. Rates on instruments which differ with respect to maturity alone, all other features supposedly being held constant, have in particular received a great deal of attention since the publication of Meiselman's [7] work in 1962. While the term structure has certainly received the most concern, import-ant contri…
The Fundamental Determinants of the Interest Rate
Martin Feldstein and Otto Eckstein (1970) have set out and estimated a model of interest rate determination which they claim represents an integration of Keynes's liquidity preference theory with Irving Fisher's theory of the impact of expected inflation on interest rates. They achieve their integration by first inverting a Keynesian demand function for real balances, solving it for the nominal rate of interest. Then to incorporate Fisher's effec…
"Rational" Expectations, the Optimal Monetary Instrument, and the Optimal Money Supply Rule
Alternative monetary policies are analyzed in an ad hoc macroeconomic model in which the public's expectations about prices are rational. The ad hoc model is one in which there is long-run neutrality, since it incorporates the aggregate supply schedule proposed by Lucas. Following Poole, the paper studies whether pegging the interest rate or pegging the money supply period by period minimizes an ad hoc quadratic loss function. It turns out that t…
A Classical Macroeconometric Model for the United States
A statistical definition of the natural unemployment rate hypothesis is advanced and tested. A particular illustrative structural macroeconomic model satisfying the definition is set forth and estimated. The model has "classical" policy implications, implying a number of neutrality propositions asserting the invariance of the conditional means of real variables with respect to the feedback rule for the money supply. The aim is to test how emphati…
The Observational Equivalence of Natural and Unnatural Rate Theories of Macroeconomics
Rational Expectations, Econometric Exogeneity, and Consumption
Estimates of a rational expectations version of Friedman's time-series consumption model are obtained by imposing the pertinent restrictions across the stochastic processes for consumption and income. A likelihood ratio test is used to test the adequacy of three joint hypotheses: namely, Friedman's model, rational expectations, and some arbitrary conditions on the disturbance process in the consumption function. The paper treats both the cases in…
Estimation of Dynamic Labor Demand Schedules under Rational Expectations
A dynamic linear demand schedule for labor is estimated and tested. The hypothesis of rational expectations and assumptions about the orders of the Markov processes governing technology impose overidentifying restrictions on a vector autoregression for straight-time employment, overtime employment, and the real wage. The model is estimated by the full-information maximum-likelihood method. The model is used as a vehicle for reexamining some of th…
Causality, Exogeneity, and Natural Rate Models
Interpreting Economic Time Series
This paper explores some of the implications for econometric practice of the principle that people's observed behavior will change when their constraints change. In dynamic contexts, a proper definition of people's constraints includes among them laws of motion that describe the evolution of the taxes they must pay and the prices of the goods that they buy and sell. Changes in agents' perceptions of these laws of motion (or constraints) will in g…
The Real-Bills Doctrine versus the Quantity Theory
Two competing monetary policy prescriptions are analyzed within the context of overlapping generations models. The real-bills prescription is for unfettered private intermediation or central bank operations designed to produce the effects of such intermediation. The quantity-theory prescription, in contrast, is for restrictions on private intermediation designed to separate "money" from credit. Although our models are consistent with quantity-the…
Rational Expectations and Econometric Practice
Journal Article Rational Expectations and Econometric Practice Get access Rational Expectations and Econometric Practice. Edited by ROBERT E. LUCAS Jnr and THOMAS J. SARGENT (London: George Allen and Unwin, 1981. Pp. xi + 689. £25.00 hardback, £9.95 paperback.) Willem H. Buiter Willem H. Buiter London School of Economics and Political Science Search for other works by this author on: Oxford Academic Google Scholar The Economic Journal, Volume 93,…
Energy, Foresight, and Strategy
Dynamic Macroeconomic Theory
Dynamic Macroeconomic Theory
Journal Article Dynamic Macroeconomic Theory Get access Dynamic Macroeconomic Theory. by THOMAS J. SARGENT. (Cambridge, Massachusetts & London: Harvard University Press, 1987. Pp. xii + 369. £27.95 hardback.)Exercises in Dynamic Macroeconomic Theory. By RODOLFO E. MANUELLI and THOMAS J. SARGENT. (Cambridge, Massachusetts & London: Harvard University Press, 1987. Pp. xi + 223. £15.50 paperback.) Kerry Patterson Kerry Patterson University of Readin…
Two Models of Measurements and the Investment Accelerator
This paper describes two models of an agency that is collecting and reporting observations on a dynamical linear stochastic economy. The first is a "classical" model, with the agency reporting data that are the sum of a vector of "true" variables and a vector of measurement errors that are orthogonal to the true variables. The second is a model of an agency that uses an optimal filtering method to construct least-squares estimates of the true var…
Convergence of Least-Squares Learning in Environments with Hidden State Variables and Private Information
The authors study the convergence of recursive least-squares learning schemes in economic environments in which there is private information. The presence of private information leads to the presence of hidden state variables from the viewpoint of particular agents. By applying theorems of Lennart Ljung, the authors extend some of their earlier results to characterize conditions under which a system governed by least-squares learning will eventua…
Game Theory and Economic Modelling . David M. Kreps
Rational Expectations Econometrics
Macroeconomic Features of the French Revolution
This paper describes aspects of the French Revolution from the perspective of theories about money and government budget constraints. The authors describe how unpleasant fiscal arithmetic gripped the Old Regime, how the Estates General responded to reorganize France's fiscal affairs, and how fiscal exigencies impelled the Revolution into a procession of monetary experiments ending in hyperinflation. Copyright 1995 by University of Chicago Press
Bounded Rationality in Macroeconomics
The European Unemployment Dilemma
Post‐World War II European welfare states experienced several decades of relatively low unemployment, followed by a plague of persistently high unemployment since the 1980s. We impute the higher unemployment to welfare states' diminished ability to cope with more turbulent economic times, such as the ongoing restructuring from manufacturing to the service industry, adoption of new information technologies, and a rapidly changing international eco…
The Big Problem of Small Change
The Big Problem of Small Change offers the first credible and analytically sound explanation of how a problem that dogged monetary authorities for hundreds of years was finally solved. Two leading economists, Thomas Sargent and François Velde, examine the evolution of Western European economies through the lens of one of the classic problems of monetary history--the recurring scarcity and depreciation of small change. Through penetrating and clea…
Optimal Taxation without State‐Contingent Debt
In an economy studied by Lucas and Stokey, tax rates inherit the serial correlation structure of government expenditures, belying Barro's earlier result that taxes should be a random walk for any stochastic process of government expenditures. To recover a version of Barro's random walk tax-smoothing outcome, we modify Lucas and Stokey's economy to permit only risk-free debt. Having only risk-free debt confronts the Ramsey planner with additional …
Economics (41 obras) · Econometrics (24 obras) · Economic theories and models (21 obras) · Monetary Policy and Economic Impact (20 obras) · Computer Science (18 obras) · Keynesian economics (15 obras) · Mathematical economics (13 obras) · Macroeconomics (12 obras) · Economic Theory and Policy (11 obras) · Monetary economics (10 obras)