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dc.contributor.author조인구-
dc.date.accessioned2019-11-26T20:13:54Z-
dc.date.available2019-11-26T20:13:54Z-
dc.date.issued2017-07-
dc.identifier.citationFEDERAL RESERVE BANK OF ST LOUIS REVIEW, v. 99, no. 3, page. 279-294en_US
dc.identifier.issn0014-9187-
dc.identifier.issn2163-4505-
dc.identifier.urihttps://research.stlouisfed.org/publications/review/2017/07/05/model-averaging-and-persistent-disagreement/-
dc.identifier.urihttps://repository.hanyang.ac.kr/handle/20.500.11754/114807-
dc.description.abstractThe 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.sponsorshipThe 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.isoen_USen_US
dc.publisherFEDERAL RESERVE BANK ST LOUISen_US
dc.subjectNASH EQUILIBRIUMen_US
dc.subjectUNCERTAINTYen_US
dc.titleModel Averaging and Persistent Disagreementen_US
dc.typeArticleen_US
dc.relation.no99-
dc.identifier.doi10.20955/r.2017.279-294-
dc.relation.page279-294-
dc.relation.journalFEDERAL RESERVE BANK OF ST LOUIS REVIEW-
dc.contributor.googleauthorCho, In-Koo-
dc.contributor.googleauthorKasa, Kenneth-
dc.relation.code2017016024-
dc.sector.campusS-
dc.sector.daehakCOLLEGE OF ECONOMICS AND FINANCE[S]-
dc.sector.departmentDIVISION OF ECONOMICS & FINANCE-
dc.identifier.pidinkoocho-
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COLLEGE OF ECONOMICS AND FINANCE[S](경제금융대학) > ECONOMICS & FINANCE(경제금융학부) > Articles
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