A new approach to the existence and regularity of linear equilibrium in a noisy rational expectations economy

This paper gives a new approach to show the existence and regularity of linear equilibrium established by Lou ⓡ al. (2019) for a noisy rational expectations economy. Different from the existing method which essentially requires to find a fixed point of a system of nonlinear algebraic equations, the new approach is operated directly on an alternative form of market-clearing conditions. One main advantage of the new approach is that besides homogeneous-valuation economies, it can also handle the existence of equilibrium in economies with heterogeneous valuations where the existing method for dealing with homogeneous-valuation economies fails to work.     

On the origins of tourist urbanisation in Greece: Land speculation and property market (in)efficiency

This paper places issues of land speculation and property market efficiency within the limited geographical context of a tourist-agglomeration development process in the island of Rhodes, Greece. The study is based mainly on the elaboration of diachronic cadastral data, covering the period from the very beginning of the tourism development in what as of a formerly an agricultural area, until its establishment as an international mass tourist destination. The economic and financial dimensions of land speculation on market efficiency are explored, through a socio-economic perspective. Land property ownership structures, state policies and bank financing practices have produced synergies that encouraged land speculation, with ambivalent effects on space, property markets and tourist activities. Finally, it is argued that land speculation may be regarded as a socially embedded rational action, which leads to an overall inefficient land market.     

House price dynamics: Fundamentals and expectations

We investigate whether expectations that are not fully rational have the potential to explain the evolution of house prices and the price-to-rent ratio in the United States. First, a stylized asset-pricing model solved under rational expectations is used to derive a fundamental value for house prices and the price–rent ratio. Although the model can explain the sample average of the price–rent ratio, it does not generate the large and persistent fluctuations observed in the data. Then, we consider a rational bubble solution, an extrapolative expectations solution and a near rational bubble solution. In this last solution agents extrapolate the future from the latest realizations and the degree of extrapolation is stronger in good times than in bad times, generating waves of over-optimism. We show that under this solution the model not only is able to match key moments of the data but can also replicate the run up in the U.S. house prices observed over the 2000–2006 period and the subsequent sharp downturn.     

STABILISATION POLICY,RATIONAL EXPECTATIONS AND PRICE‐LEVEL VERSUS INFLATION TARGETING: A SURVEY

We survey literature comparing inflation targeting (IT) and price‐level targeting (PT) as macroeconomic stabilisation policies. Our focus is on New Keynesian models and areas that have seen significant developments since Ambler's (2009, Price‐level targeting and stabilisation policy: a survey. Journal of Economic Surveys 23(5): 974–997) survey: optimal monetary policy; the zero lower bound; financial frictions and transition costs of adopting a PT regime. Ambler's conclusion that PT improves social welfare in New Keynesian models is fairly robust, but we note an interesting split in the literature: PT consistently outperforms IT in models where policymakers commit to simple Taylor‐type rules, but results in favour of PT when policymakers minimise loss functions are overturned with small deviations from the baseline model. Since the beneficial effects of PT appear to hang on the joint assumption that agents are rational and the economy New Keynesian, we discuss survey and experimental evidence on rational expectations and the applied macro literature on the empirical performance of New Keynesian models. Overall, the evidence is not clear‐cut, but we note that New Keynesian models can pass formal statistical tests against macro data and that models with rational expectations outperform those with behavioural expectations (i.e. heuristics) in direct statistical tests. We therefore argue that policymakers should continue to pay attention to PT.     

Invertible and non-invertible information sets in linear rational expectations models

Rational expectations solutions are usually derived by assuming that all state variables relevant to forward-looking behaviour are directly observable, or that they are “…an invertible function of observables” (Mehra and Prescott, 1980). Using a framework that nests linearised DSGE models, we give a number of results useful for the analysis of linear rational expectations models with restricted information sets. We distinguish between instantaneous and asymptotic invertibility, and show that the latter may require significantly less information than the former. We also show that non-invertibility of the information set can have significant implications for the time series properties of economies.     

Rational Choice with Passion: Virtue in a Model of Rational Addiction

By incorporating a divided self into the rational addiction framework, this paper provides a rationale for and an explicit analysis of two types of budget-shrinking behaviors - actions taken to limit access to lifetime wealth in a given period, and actions taken to change the effective price of the addictive good. Moreover, internal conflict models provide a normative rationale, absent from rational addiction models, for policies that limit access to addictive goods.     

Learning in linear models with expectational leads

Models with expectational leads typically admit multiple rational expectations solutions. Based on the ordinary least-squares algorithm, this paper provides an adaptive learning scheme which allows a forecasting agent to select a particular solution on economic grounds. Conditions are given under which this scheme converges to rational expectations solutions globally for all initial conditions. We strengthen convergence results in relaxing standard assumptions and in providing conditions ensuring algorithm convergence which are easier to verify and to interpret than those previously known.     

资本的市场价值理论在投资行为中的运用

本文试图运用资本的市场价值理论来研究厂商的投资行为。通过分析认为，经济增长决定行业产品的需求量，行业资本的利润主要依赖于需求量的增加。利率和行业资本的利润决定资本的市场价值，资本的市场价值决定厂商的资本供给，也就是厂商的投资数量。对经济增长和行业产品需求量的过度预期，会导致非理性的投资，产生沉淀成本和调整成本。预期利率升高，使投资前移，同样会产生投资规模过大的趋势。提高投资项目资本金的比例，能遏制投资规模过大。作为微观经济个体的厂商，在作投资决策时，应将选择价值纳入考虑范围，进行理性投资，减少沉淀成本和调整成本。     

投资者面临泡沫的理性行为:抛售、旁观还是骑乘?

关于投资者面临泡沫时的行为,学术界存在截然不同的三种观点:抛售、旁观和骑乘。本文构建了一个仅需基本信息的、适用于一般投资者的泡沫识别模型,以1996年5月至2010年12月的数据为样本识别泡沫,在此基础上分析泡沫期之后的崩溃风险,并测算投资于泡沫期之后的超额收益,探寻当期识别到泡沫与下一期标准化的超额收益之间的关系。结果表明,崩溃与泡沫没有必然联系,投资者面临具有极端收益的泡沫时的理性行为是骑乘泡沫。