scholarly journals Cointegration Implications of Linear Rational Expectation Models

2008 ◽  
Author(s):  
Mikael Juselius
Keyword(s):  
Rational Expectation

THE INFLUENCE OF ADRENAL STEROIDS AND CORTICOTROPIN ON MASSIVE MYOCLONIC SEIZURES OF INFANCY

PEDIATRICS ◽  
1963 ◽  
Vol 32 (2) ◽  
pp. 169-174
Author(s):  
Patrick F. Bray
Keyword(s):  
Neurological Deficit ◽  
Prognostic Value ◽  
Rational Expectation ◽  
Initial Response ◽  
Response To Therapy ◽  
Adrenal Steroids ◽  
Focal Neurological Deficit ◽  
Rational Treatment ◽  
Follow Up Study

A 4-year follow-up study is reported on 10 infants whose minor motor seizures were treated intensively with cortisone and/or corticotropin. No correlation was found between the infants' initial clinical and electroencephalographic response to therapy and their follow-up intelligence quotients. The similar initial electroencephalographic findings, contrasted with the marked followup differences in levels of intellectual functioning, illustrate the limited prognostic value of the electroencephalogram in this syndrome. Similarly, no correlation was noted in the patients' initial response to therapy, and the presence or absence of microcephaly or focal neurological deficit. In the absence of any other rational treatment, and despite the dismal prospect suggested by this report and those of others, renewed efforts to treat patients earlier and more intensively with cortisone and corticotropin could be undertaken. However, in the light of 4 years' experience, such an approach might be a reflection more of therapeutic desperation than of rational expectation of good results.

scholarly journals The Formation of Expectations, Inflation, and the Phillips Curve

2018 ◽  
Vol 56 (4) ◽  
pp. 1447-1491 ◽  
Author(s):  
Olivier Coibion ◽  
Yuriy Gorodnichenko ◽  
Rupal Kamdar
Keyword(s):  
Survey Data ◽  
Rational Expectations ◽  
Phillips Curve ◽  
Rational Expectation ◽  
New Keynesian ◽  
Inflation Expectations ◽  
Full Information ◽  
Macroeconomic Modeling ◽  
Expectations Formation

This paper argues for a careful (re)consideration of the expectations formation process and a more systematic inclusion of real-time expectations through survey data in macroeconomic analyses. While the rational expectations revolution has allowed for great leaps in macroeconomic modeling, the surveyed empirical microevidence appears increasingly at odds with the full-information rational expectation assumption. We explore models of expectation formation that can potentially explain why and how survey data deviate from full-information rational expectations. Using the New Keynesian Phillips curve as an extensive case study, we demonstrate how incorporating survey data on inflation expectations can address a number of otherwise puzzling shortcomings that arise under the assumption of full-information rational expectations. (JEL D04, E24, E27, E31, E37)

ROBUST POLICIES IN A STICKY INFORMATION ECONOMY

2010 ◽  
Vol 14 (3) ◽  
pp. 311-342 ◽  
Author(s):  
Francesco Giuli
Keyword(s):  
Monetary Policy ◽  
Phillips Curve ◽  
Rational Expectation ◽  
Policy Instrument ◽  
Optimal Monetary Policy ◽  
Information Economy ◽  
Sticky Information ◽  
Productivity Shocks ◽  
Expectation Model ◽  
Short Run

This paper analyzes the behavior of a central bank under strong (“Knightian”) uncertainty when the short-run trade-off between output and inflation is represented by the sticky information Phillips curve proposed by Mankiw and Reis [Quarterly Journal of Economics 117(4), 1295–1328 (2002)]. By solving the robust control problem analytically, we show why model uncertainty does not affect the optimal monetary policy response to demand and productivity shocks, whereas it causes a stronger reaction of the monetary policy instrument to a cost-push (i.e., markup) shock. Differently from what occurs in sticky price models, the antiattenuation effect can result in a degree of price level stabilization that is greater or less than that experienced in the rational expectation model, depending on the central bank's degree of conservatism. These results dramatically affect the rationale for delegating monetary policy to a central banker more conservative than the society.

Modern Financial Market Theory – A Critique Based on the Logic of Human Action

2021 ◽  
Vol 54 (3) ◽  
pp. 447-467
Author(s):  
Thorsten Polleit
Keyword(s):  
Decision Making ◽  
Financial Markets ◽  
Financial Market ◽  
Real World ◽  
Rational Expectation ◽  
Efficient Market Hypothesis ◽  
Human Action ◽  
Market Theory ◽  
Expectation Theory ◽  
Market Economics

The modern financial market theory (MFMT) – based on the efficient market hypothesis, rational expectation theory, and modern portfolio theory – has become the standard approach in financial market economics. In this article, the MFMT will be critically ­reviewed using the logic of human action (or: praxeology) as an epistemological meta­theory. It will be shown that the MFMT exhibits (praxeo-)logical deficiencies so that it cannot provide investors with well-founded decision-making support in real-world financial markets.

INEFFICIENT BUBBLES AND EFFICIENT DRAWDOWNS IN FINANCIAL MARKETS

2020 ◽  
Vol 23 (07) ◽  
pp. 2050047 ◽  
Author(s):  
MICHAEL SCHATZ ◽  
DIDIER SORNETTE
Keyword(s):  
Rational Expectations ◽  
Rational Expectation ◽  
Asset Price ◽  
Theoretical Background ◽  
Local Martingale ◽  
Management Problem ◽  
Market Failures ◽  
Asset Price Bubbles ◽  
Price Bubbles ◽  
Hyman Minsky

At odds with the common “rational expectations” framework for bubbles, economists like Hyman Minsky, Charles Kindleberger and Robert Shiller have documented that irrational behavior, ambiguous information or certain limits to arbitrage are essential drivers for bubble phenomena and financial crises. Following this understanding that asset price bubbles are generated by market failures, we present a framework for explosive semimartingales that is based on the antagonistic combination of (i) an excessive, unstable pre-crash process and (ii) a drawdown starting at some random time. This unifying framework allows one to accommodate and compare many discrete and continuous time bubble models in the literature that feature such market inefficiencies. Moreover, it significantly extends the range of feasible asset price processes during times of financial speculation and frenzy and provides a strong theoretical background for future model design in financial and risk management problem settings. This conception of bubbles also allows us to elucidate the status of rational expectation bubbles, which, by design, suffer from the paradox that a rational market should not allow for misvaluation. While the discrete time case has been extensively discussed in the literature and is most criticized for its failure to comply with rational expectations equilibria, we argue that this carries over to the finite time “strict local martingale”-approach to bubbles.

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