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Nonlinear Expectation Formation, Endogenous Business Cycles and Stylized Facts
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Frank H. Westerhoff
Veröffentlicht/Copyright:
4. Dezember 2006
We modify Samuelson’s multiplier-accelerator model to explore the influence of expectations on fluctuations in economic activity. Within our model, the agents use a nonlinear mix of extrapolative and regressive forecast rules to predict the output. Our model is able to mimic some generic features of business cycles. In particular, consumption is procyclical and fluctuates less than output while investment is procyclical and fluctuates more than output.
Published Online: 2006-12-4
©2011 Walter de Gruyter GmbH & Co. KG, Berlin/Boston
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- Measuring the Interaction of Wage and Price Phillips Curves for the U.S. Economy
- A Switching ARCH Model for the German DAX Index
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Artikel in diesem Heft
- Article
- Interest Rate Setting and Inflation Targeting: Evidence of a Nonlinear Taylor Rule for the United Kingdom
- Measuring the Interaction of Wage and Price Phillips Curves for the U.S. Economy
- A Switching ARCH Model for the German DAX Index
- Nonlinear Expectation Formation, Endogenous Business Cycles and Stylized Facts
- Issues of Aggregation Over Time of Conditional Heteroscedastic Volatility Models: What Kind of Diffusion Do We Recover?
- The Behavior of Short-Term Interest Rates: International Evidence of Non-Linear Adjustment
- Bayesian Analysis of Structural Effects in an Ordered Equation System
