- Abstract:
-
We propose a generalization of the rational expectations frame- work to allow for temporarily unstable paths. Our approach intro- duces multiplicative sunspot shocks and it yields drifting param- eters and stochastic volatility. Then, we provide an economet- ric strategy to estimate this generalized model on the data. The methodology allows the data to choose between different possible alternatives: determinacy, indeterminacy and temporary instabil- ity. We apply our methodology to US in atio...
Expand abstract - Publication status:
- Published
- Peer review status:
- Peer reviewed
- Version:
- Publisher's version
- Files:
-
-
(pdf, 989.6KB)
-
- Publisher copy:
- 10.1257/aer.20160576
-
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- Publisher:
- American Economic Association Publisher's website
- Journal:
- American Economic Review Journal website
- Volume:
- 109
- Issue:
- 5
- Pages:
- 1805-1842
- Publication date:
- 2019-05-01
- Acceptance date:
- 2018-12-04
- DOI:
- ISSN:
-
0002-8282
- Pubs id:
-
pubs:954390
- URN:
-
uri:f89a499f-4115-46a3-8cbc-ac2e136bc5c6
- UUID:
-
uuid:f89a499f-4115-46a3-8cbc-ac2e136bc5c6
- Local pid:
- pubs:954390
- Copyright holder:
- American Economic Association
- Copyright date:
- 2019
- Notes:
- Copyright 2019 American Economic Association.
Journal article
Walk on the wild side: temporarily unstable paths and multiplicative sunspots
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