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Journal Article
Expectations, open market operations, and changes in the federal funds rate
Taylor, John B. (2001-07)
Review , Volume 83 , Issue Jul , Pages 33-58

Working Paper
Learning, expectations formation and the pitfalls of optimal control monetary policy
Williams, John C.; Orphanides, Athanasios (2008)
This paper examines the robustness characteristics of optimal control policies derived under the assumption of rational expectations to alternative models of expectations. We assume that agents have imperfect knowledge about the precise structure of the economy and form expectations using a forecasting model that they continuously update based on incoming data. We find that the optimal control policy derived under the assumption of rational expectations can perform poorly when expectations deviate modestly from rational expectations. We then show that the optimal control policy can be made ...
Working Paper Series , Paper 2008-05

Journal Article
The rational expectations hypothesis of the term structure, monetary policy, and time-varying term premia
Otrok, Christopher; Dotsey, Michael (1995-01)
Economic Quarterly , Issue Win , Pages 65-81

Journal Article
The state of modern economics : Is rational man extinct?
Slivinski, Stephen (2008-04)
Searching for Homo Economicus
Econ Focus , Volume 12 , Issue Spr/Sum , Pages 24-27

Working Paper
Testing the expectations hypothesis when interest rates are near integrated
Österholm, Pär; Beechey, Meredith J.; Hjalmarsson, Erik (2008)
Nominal interest rates are unlikely to be generated by unit-root processes. Using data on short and long interest rates from eight developed and six emerging economies, we test the expectations hypothesis using cointegration methods under the assumption that interest rates are near integrated. If the null hypothesis of no cointegration is rejected, we then test whether the estimated cointegrating vector is consistent with that suggested by the expectations hypothesis. The results show support for cointegration in ten of the fourteen countries we consider, and the cointegrating vector is ...
International Finance Discussion Papers , Paper 953

Journal Article
Learning, rational expectations and policy: a summary of recent research
Bullard, James B. (1991-01)
Review , Issue Jan , Pages 50-60

Working Paper
Inadequate tests of the rationality of expectations
Webb, Roy H. (1984)
In several recent articles, authors have regressed actual values of macroeconomic aggregates on predicted values and claimed that they were testing the rationality of expectations. This paper interprets those regressions as testing a joint hypothesis of imperfect information and rational expectations. An empirical method is proposed to separate the components of the joint hypothesis. Predictions from two major forecasting services are examined, and results are found that are consistent with rational expectations but inconsistent with the joint hypothesis. It is therefore argued that many ...
Working Paper , Paper 84-07

Journal Article
Are markets really efficient?
Klitgaard, Thomas (1983)
FRBSF Economic Letter

Working Paper
Risk neutral valuation, asymmetric information, and the efficient markets hypothesis
Smith, Stephen D.; Madrigal, Vicente (1992)
FRB Atlanta Working Paper , Paper 92-1

Working Paper
Optimal Policy Rules in Rational-Expectations Models: New Solution Algorithms
Dennis, Richard (2005-09-07)
This paper develops methods to solve for optimal discretionary policies and optimal commitment policies in rational expectations models. These algorithms, which allow the optimization constraints to be conveniently expressed in second-order structural form, are more general than existing methods and are simple to apply. We use several New Keynesian business cycle models to illustrate their application. Simulations show that the procedures developed in this paper can quickly solve small-scale models and that they can be usefully and effectively applied to medium- and large-scale models.
Working Paper Series , Paper 2001-09

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