The conquest of American inflation /
Thomas J. Sargent.
- Princeton : Princeton University Press, 1999.
- xiv, 148 páginas : ilustraciones, gráficas, tablas ; 24 cm.
Incluye referencias bibliográficas (páginas 137-144) e índices.
1. The rise and Fall of U.S. inflation: Facts ; Two interpretations: The triumph of natural-rate theory ; The vindication of econometric policy evaluation ; Readers's guide: The Lucas critique ; Time-consistency and credible plans ; Adaptive expectations and the Phelps problem ; Equilibriumunder misspecification ; Two types of self-confirming equilibria ; Adaptive expectations ; Empirical vindication Raw and filtered Data: Demographic adjustment and drift -- 2. Ignoring the Lucas critique: The Lucas critique: Outline ; The appeal to drifting coefficients ; A loose end ; Parameter drift as point of departure ; Relevance of the critique ; Rational expectations models -- 3. The credibility problem: Introduction ; One-period economy: Least squares learning converges to Nash ; More foresight ; Appendix on stochastic approximation -- 4. Credible government policies: Perfection: Historical antecedents ; The method of Abreu-Pearce-Stacchetti ; Examples of recursive SPE: Infinite repetition of Nash outcome ; Infinite repetition of a better-than-Nash outcome ; Something worse: a stick and carrot strategy ; The worst SPE ; Multiplicity ; Attaining the worst, method 1 ; Attaining the worst, method ; Attaining the worst, method ; Numerical examples ; Interpretations: Remedies -- 5. Adaptive Expectations (1950's): Adaptive expectations: The original Phelps problem ; Phelps problem: general version: Testing the natural-rate hypothesis ; Disappearance of beliefs as state variable ; Subversion of Phelps's model -- 6. Optimal Misspecified Beliefs ; Equilibrium with mistakes ; An experiment in Bray's lab: Misspecification ; Lessons -- 7. Self-confirming equilibria: Two literatures: Directions of fit ; Imperfect (1970's) rational expectations equilibria: Self-confirming equilibria: Objects in Phelps problem ; Elements of self-confirming models ; The actual Phillips curve ; Self-confirmation ; Direction of minimization ; vanishing parameters ; Self-confirmation under classical direction: Moment formulas ; Keynesian direction of fit: Government beliefs and behavior ; Calculation of S ; Special case by hand ; Why not Ramsey? ; Direction of minimization: caution ; Equilibrium computation ; Messages ; Equilibrium with misspecified beliefs: An erroneous forecasting function ; Approaching Ramsey ; Grounds for optimism -- 8. Adaptive Expectations (1990's) : Least squares adaptation ; Primer on recursive algorithms: Iteration ; Stochastic approximations ; Mean dynamics ; Constant gain ; Escape routes ; Simplification of action functional ; From computation to adaptation ; Adaptation with the classical identification: The government's beliefs and behavior ; RLS and the Kalman filter ; Private sector beliefs ; System evolution ; Mean dynamics ; Stochastic approximation ; Adaptation with Keynesian identification: Government beliefs and behavior ; Technical details ; Simulations: Classical adaptive simulations ; Relation to equilibria under forecast misspecification ; Simulation with Keynesian adaptation ; Role of discount factor ; Conclusions -- 9. Econometric Policy Evaluation: Introduction ; Likelihood function ; Estimates ; Interpretation ; Appendix on likelihood function -- 10. Triumph or Vindication? : Expectations and the Lucas critique. "