Rational expectations models have increasingly been replaced by models with various forms of learning. This paper studies the global dynamics of a model of renewable resource markets due to Hommes and Rosser [Macroecon. Dyn. 5 (2001) 180] under adaptive and statistical learning systems. The statistical learning system is seen to generate greater complexity of the structures of the basins of att...

Quantification techniques are popular methods in empirical research for aggregating the qualitative predictions at the microlevel into a single figure. In this paper, we analyze the forecasting performance of various methods that are based on the qualitative predictions of financial experts for major financial variables and macroeconomic aggregates. Based on the Centre of European Economic Rese...

In this study, we perform a quantitative assessment of the role of money as an indicator variable for monetary policy in the euro area. We document the magnitude of revisions to euro area-wide data on output, prices, and money, and find that monetary aggregates have a potentially significant role in providing information about current real output. We then proceed to analyze the information cont...

We use noncausal autoregressions to examine the persistence properties of quarterly U.S. consumer price inflation from 1970:1—2012:2. These nonlinear models capture the autocorrelation structure of the inflation series as accurately as their conventional causal counterparts, but they allow for persistence to depend on the size and sign of shocks to inflation as well as the inflation rate. Infla...

Article history: Received 17 September 2014 Received in revised form 23 March 2015 Accepted 24 March 2015 Available online 31 March 2015 This paper investigates the dynamic effects of common macroeconomic shocks in shaping business cycle fluctuations in a group of Euro-area countries. In particular, by using the structural (near) VAR methodology, we investigate the effect of area-wide shocks, w...

We propose an Economic Stability Index (ESI) incorporating house prices and stock prices as components of the measure of the inflation rate in order to allow the European Central Bank (ECB) to achieve both price and macroeconomic stability. We use an optimisation approach to estimate target weights for different sectoral prices in the broader price index, which depend on sectoral parameters oth...

This paper compares three reduced-form models of heterogeneity in survey inflation expectations. On the one hand, we specify two models of forecasting inflation based on limited information flows of the type developed in Mankiw and Reis [2002. Sticky information versus sticky prices: a proposal to replace the new Keynesian Phillips curve. Quarterly Journal of Economics 117(4), 1295–1328]. We pr...

We propose a generalized ordered response model that nests the popular Carlson-Parkin (CP) method to quantify household inflation expectations while explicitly control for cross-sectional heterogeneity in the threshold parameters and the variance. By matching qualitative and quantitative data from 1979 to 2012 from the University of Michigan’s Survey of Consumers, we find evidence against the t...

This paper incorporates limited asset markets participation in dynamic general equilibrium and develops a simple analytical framework for monetary policy analysis. Aggregate dynamics and stability properties of an otherwise standard business cycle model depend nonlinearly on the degree of asset market participation. While ‘moderate’ participation rates strengthen the role of monetary policy, lo...

Forecasting Economic Aggregates by Disaggregates* We explore whether forecasting an aggregate variable using information on its disaggregate components can improve the prediction mean squared error over first forecasting the disaggregates and then aggregating those forecasts, or, alternatively, over using only lagged aggregate information in forecasting the aggregate. We show theoretically that...