Rational expectations models with partial information

Pearlman, Joseph; Currie, David; Levine, Paul

doi:10.1016/0264-9993(86)90001-5

Cited by 60 publications

(58 citation statements)

References 21 publications

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“…We further show that consumption in our economy is in general not certainty-equivalent (in the sense of Pearlman et al, 1986or Svennson and Woodford, 2002, 2004. We then study the model numerically and …nd it di¤ers dramatically from the complete markets economy.…”

Section: Introductionmentioning

confidence: 81%

“…The …rst strand looks at the problem of setting monetary policy under imperfect information. Most such models (Pearlman et al, 1986, Svennson and Woodford, 2002, 2004, Aoki, 2003 look at the problem of asymmetric information when the monetary policymaker has imperfect information but the private sector is perfectly informed. Pearlman (1992) and Svennson and Woodford (2003) look at the case where the private sector and the policymaker share the same imperfect information set.…”

Section: Introductionmentioning

confidence: 99%

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Information, heterogeneity and market incompleteness

Graham

Wright

2010

Journal of Monetary Economics

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We provide a microfounded account of imperfect information in the stochastic growth model which dramatically changes the properties of the model. We describe heterogenous households that acquire information about aggregates through their participation in markets. If markets are incomplete, household information will be imperfect. We solve the model taking account of the in…nite regress of expectations that this lack of information implies. We derive analytical and numerical results to show that imperfect information can signi…cantly change the properties of the model: under virtually all calibrations the impact response of consumption to a positive aggregate technology shock is negative.JEL classi…cation: D52; D84; E32.

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Section: Introductionmentioning

confidence: 81%

Section: Introductionmentioning

confidence: 99%

Information, heterogeneity and market incompleteness

Graham

Wright

2010

Journal of Monetary Economics

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“…We further assume that the central bank and private agents share the same information set and utilize the Kalman filter to make optimal inferences about the true state of the economy (cf. Pearlman et al (1986), Svensson and Woodford (2000)). 4 Money can serve as a potentially useful indicator variable in our framework, because we assume that aggregate money demand depends on the true level of aggregate output, whereas the central bank and private agents only receive a noisy measure of aggregate output.…”

Section: Introductionmentioning

confidence: 99%

Data uncertainty and the role of money as an information variable for monetary policy

Coenen

Wieland

2005

European Economic Review

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Abstract:In this study, we perform a quantitative assessment of the role of money as an indicator variable for monetary policy in the euro area. We document the magnitude of revisions to euro area-wide data on output, prices, and money, and find that monetary aggregates have a potentially significant role in providing information about current real output. We then proceed to analyze the information content of money in a forward-looking model in which monetary policy is optimally determined subject to incomplete information about the true state of the economy. We show that monetary aggregates may have substantial information content in an environment with high variability of output measurement errors, low variability of money demand shocks, and a strong contemporaneous linkage between money demand and real output. As a practical matter, however, we conclude that money has fairly limited information content as an indicator of contemporaneous aggregate demand in the euro area. JEL Classification: E31, E52, E58, E61

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“…3 Without a concern for robustness, Kydland and Prescott (1980), Hansen, Epple, and Roberds (1985), Miller andSalmon (1985a, 1985b), Sargent (1987), Currie and Levine (1987), Pearlman, Currie, and Levine (1986), Pearlman (1992), Woodford (1998), King and Wolman (1999), and Marcet and Marimon (1999) have solved Stackelberg or Ramsey problems using Lagrangian formulations. Pearlman, Currie, and Levine (1986), Pearlman (1992) and Svensson and Woodford (2000) study the control of forward looking models where part of the state is unknown and must be filtered.…”

Section: Related Literaturementioning

confidence: 99%

“…Pearlman, Currie, and Levine (1986), Pearlman (1992) and Svensson and Woodford (2000) study the control of forward looking models where part of the state is unknown and must be filtered. DeJong, Ingram, and Whiteman (1996), Otrok (In press), and others study the Bayesian estimation of forward looking models.…”

Section: Related Literaturementioning

confidence: 99%

Modeling the search for tolerant-to-uncertainty monetary and fiscal policies under their interaction

Serkov¹

2017

EATP

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Rational expectations models with partial information

Cited by 60 publications

References 21 publications

Information, heterogeneity and market incompleteness

Information, heterogeneity and market incompleteness

Data uncertainty and the role of money as an information variable for monetary policy

Modeling the search for tolerant-to-uncertainty monetary and fiscal policies under their interaction

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