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Erscheinungsjahr: 
2022
Quellenangabe: 
[Journal:] Theoretical Economics [ISSN:] 1555-7561 [Volume:] 17 [Issue:] 1 [Publisher:] The Econometric Society [Place:] New Haven, CT [Year:] 2022 [Pages:] 291-329
Verlag: 
The Econometric Society, New Haven, CT
Zusammenfassung: 
This paper shows that belief-driven economic fluctuations are a general feature of many determinate macroeconomic models. In environments with hidden state variables, forecast-model misspecification can break the link between indeterminacy and sunspots by establishing the existence of "statistical sunspots" in models that have a unique rational expectations equilibrium. To form expectations, agents regress on a set of observables that can include serially correlated nonfundamental factors (e.g., sunspots, judgment, expectations shocks, etc.). In equilibrium, agents attribute, in a self-fulfilling way, some of the serial correlation observed in data to extrinsic noise, i.e., statistical sunspots. This leads to sunspot equilibria in models with a unique rational expectations equilibrium. Unlike many rational sunspots, these equilibria are found to be generically stable under learning. Applications are developed in the context of a New Keynesian and an asset-pricing model.
Schlagwörter: 
Adaptive learning
animal spirits
business cycles
optimal monetary policy
JEL: 
D82
D83
E40
E50
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