Full metadata record
DC Field | Value | Language |
---|---|---|
dc.contributor.author | 조인구 | - |
dc.date.accessioned | 2019-11-26T20:13:54Z | - |
dc.date.available | 2019-11-26T20:13:54Z | - |
dc.date.issued | 2017-07 | - |
dc.identifier.citation | FEDERAL RESERVE BANK OF ST LOUIS REVIEW, v. 99, no. 3, page. 279-294 | en_US |
dc.identifier.issn | 0014-9187 | - |
dc.identifier.issn | 2163-4505 | - |
dc.identifier.uri | https://research.stlouisfed.org/publications/review/2017/07/05/model-averaging-and-persistent-disagreement/ | - |
dc.identifier.uri | https://repository.hanyang.ac.kr/handle/20.500.11754/114807 | - |
dc.description.abstract | The authors consider the following scenario: Two agents construct models of an endogenous price process. One agent thinks the data are stationary, the other thinks the data are nonstationary. A policymaker combines forecasts from the two models using a recursive Bayesian model averaging procedure. The actual (but unknown) price process depends on the policymaker's forecasts. The authors find that if the policymaker has complete faith in the stationary model, then beliefs and outcomes converge to the stationary rational expectations equilibrium. However, even a grain of doubt about stationarity will cause beliefs to settle on the nonstationary model, where prices experience large self-confirming deviations away from the stationary equilibrium. The authors show that it would take centuries of data before agents were able to detect their model misspecifications. | en_US |
dc.description.sponsorship | The authors thank two anonymous reviewers from the Federal Reserve Bank of St. Louis for several useful comments and suggestions and the National Science Foundation for financial support. The authors are grateful for the hospitality provided by the Federal Reserve Bank of St. Louis. | en_US |
dc.language.iso | en_US | en_US |
dc.publisher | FEDERAL RESERVE BANK ST LOUIS | en_US |
dc.subject | NASH EQUILIBRIUM | en_US |
dc.subject | UNCERTAINTY | en_US |
dc.title | Model Averaging and Persistent Disagreement | en_US |
dc.type | Article | en_US |
dc.relation.no | 99 | - |
dc.identifier.doi | 10.20955/r.2017.279-294 | - |
dc.relation.page | 279-294 | - |
dc.relation.journal | FEDERAL RESERVE BANK OF ST LOUIS REVIEW | - |
dc.contributor.googleauthor | Cho, In-Koo | - |
dc.contributor.googleauthor | Kasa, Kenneth | - |
dc.relation.code | 2017016024 | - |
dc.sector.campus | S | - |
dc.sector.daehak | COLLEGE OF ECONOMICS AND FINANCE[S] | - |
dc.sector.department | DIVISION OF ECONOMICS & FINANCE | - |
dc.identifier.pid | inkoocho | - |
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