Rational macroeconomic learning in linear expectational models: an analysis of the convergence properties of macroeconomic models under partial information rational expectations and Bayesian learning

Thesis

The partial information rational expectations solution to a general linear multivariate expectational macro-model is found when agents are uncertain about the true values of the model's parameters. Necessary and sufficient conditions for convergence to the full information rational expectations solutions are given, and the core of an algorithm for the Bayesian updating of beliefs is provided. In the course of this a new class of full information rational expectations equilibria is described and some of its desirable properties proven.

Authors: Holden, T

• Publication date: 2008
• Type of award: MPhil
• Level of award: Masters
• Awarding institution: Oxford University, UK
• Language: English
• Keywords: indeterminacy; JEL:C11; partial information; rational expectations; feasible rational expectations equilibria; sunspots; generalized Schur decomposition; JEL:C60; Bayesian learning; JEL:E00
• Subjects: Economics; Macro and international economics