dc.contributor.author | GABALLO, Gaetano | |
dc.date.accessioned | 2011-08-03T08:50:28Z | |
dc.date.available | 2011-08-03T08:50:28Z | |
dc.date.issued | 2011-01-01 | |
dc.identifier.issn | 1830-7728 | |
dc.identifier.uri | https://hdl.handle.net/1814/18275 | |
dc.description.abstract | In an otherwise unique-equilibrium model, agents are segmented into a few informational islands
according to the signal they receive about others' expectations. Even if agents perfectly observe
fundamentals, rational-exuberance equilibria (REX) can arise as they put weight on expectational
signals to refine their forecasts. Constant-gain adaptive learning can trigger jumps between the
equilibrium where only fundamentals are weighted and a REX. This determines regime switching in
aggregate volatility despite unchanged monetary policy and time-invariant distribution of exogenous
shocks. In this context, a thigh inflation-targeting policy can lower expectational complementarity
preventing rational exuberance, although its effect is non-monotone. | en |
dc.format.mimetype | application/pdf | |
dc.language.iso | en | en |
dc.relation.ispartofseries | EUI MWP | en |
dc.relation.ispartofseries | 2011/19 | en |
dc.rights | info:eu-repo/semantics/openAccess | |
dc.subject | Non-fundamental volatility | en |
dc.subject | perpetual learning | en |
dc.subject | comovements in expectations | en |
dc.subject | professional forecasters | en |
dc.subject | E3 | en |
dc.subject | E5 | en |
dc.subject | D8 | en |
dc.title | Good Luck or Good Policy? An expectational theory of macro volatility switches | en |
dc.type | Working Paper | en |
eui.subscribe.skip | true | |