Inferring Changes in Expectation Behavior Over Time
An Application of Nonlinear Time-Varying-Parameters Estimation
Bibliographic Data
| ID | 19419023 |
|---|---|
| Authors | Jeffrey C Fuhrer (Federal Reserve, corresponding author) |
| Year | 1992 |
| Volume | 10 |
| Issue | 2 |
| Pages | 169-177 |
| Publication date | 1992-04-01 |
| Open Access | No |
| Type | ARTICLE |
| Venue | Journal of Business and Economic Statistics (JOURNAL) |
| Journal identifiers | ISSN: 0735-0015 • E-ISSN: 1537-2707 |
| Publisher | Informa UK Limited (PUBLISHER • GB) |
| DOI | 10.1080/07350015.1992.10509896 |
| OpenAlex | W2028060430 |
| Language | EN |
| References cited | 7 |
This article develops a new method for inferring the structure of agents' expectations from macroeconomic time series. Two versions of a somewhat stylized macroeconomic model are examined. Expectations of money growth are a central driving variable, assumed to be formed as a time-varying weighted average of alternative money-growth models. The weights are estimated as time-varying parameters jointly with the structural parameters for the model, using a nonlinear time-varying parameters method developed for the article. The results allow the author to infer how agents may have revised their beliefs about competing money-growth models (including Federal Open Market Committee announcements) over the sample
Econometrics · Economics · Estimation · Macroeconomics · Nonlinear system · Statistics · Stylized fact · Time series · Complex Systems and Time Series Analysis · Computer Science · Economic theories and models · Mathematics · Monetary Policy and Economic Impact
| Highly cited | No |
|---|