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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
Stationary representations, cointegration, and rational expectations with an application to the forward foreign exchange market
Boucher, Janice L. (1991)
FRB Atlanta Working Paper , Paper 91-6

Working Paper
Information quality, performance measurement, and security demand in rational expectations economies
Noe, Thomas H.; Ramamurtie, Buddhavarapu Sailesh (1995)
The relationship between asset demand and information quality in rational expectations economies is analyzed. First we derive a number of new summary descriptive statistics that measure four basic characteristics of investment style: asset selection, market timing, aggressiveness, and specialization. Then we relate these statistics to the divergence between a given investor's information structure and the market average information structure. Finally, we demonstrate that informational differentials can be identified, and consistently estimated, using OLS from the time series of observed asset ...
FRB Atlanta Working Paper , Paper 95-4

Working Paper
Rational expectations and the dynamic adjustment of security analysts' forecasts to new information
Hunter, William C.; Ackert, Lucy F. (1993)
FRB Atlanta Working Paper , Paper 93-9

Working Paper
Rational expectations and security analysts' earnings forecasts
Hunter, William C.; Ackert, Lucy F. (1992)
FRB Atlanta Working Paper , Paper 92-8

Working Paper
Towards a compact, empirically verified rational expectations model for monetary policy analysis
Fuhrer, Jeffrey C. (1996)
This paper extends the sticky-price models of Fuhrer and Moore (1995a,b) to include explicit, optimization-based consumption and investment decisions. The goal is to use the resulting model for monetary policy analysis; consequently, strong emphasis is placed on empirical validation of the model. I use a canonical formulation of the consumer's problem from Campbell and Mankiw (1989), and a time-to-build investment model with costs of adjustment. The restrictions imposed by these models, in conjunction with those imposed on prices and output by the Fuhrer-Moore contracting specification, imply ...
Working Papers , Paper 96-8

Working Paper
Real expectations: replacing rational expectations with survey expectations in dynamic macro models
Fuhrer, Jeffrey C. (2012)
This paper examines the implications of changing the expectations assumption that is embedded in nearly all current macroeconomic models. The paper substitutes measured or "real" expectations for rational expectations in an array of standard macroeconomic relationships, as well as in a DSGE model. The author finds that the use of survey measures of expectations ? for near-term inflation, long-term inflation, unemployment, and short-term interest rates ? improves performance along a variety of dimensions. Survey expectations exhibit strong correlations to key macroeconomic variables. Those ...
Working Papers , Paper 12-19

Working Paper
The role of expectations in U. S. inflation dynamics
Fuhrer, Jeffrey C. (2011)
A growing body of literature examines alternatives to the rational expectations hypothesis in applied macroeconomics. This paper continues this strand of research by examining the role survey expectations play in the inflation process and reports three principal findings. One, short-run inflation expectations appear to play a significant role in explaining U.S. inflation over the past 20?25 years. Two, long-run expectations generally do not appear to have a direct influence on U.S. inflation over the same period, although these longer expectations enter indirectly as a key determinant of the ...
Working Papers , Paper 11-11

Working Paper
Computationally efficient solution and maximum likelihood estimation of nonlinear rational expectation models
Bleakley, Hoyt; Fuhrer, Jeffrey C. (1996)
This paper presents new, computationally efficient algorithms for solution and estimation of nonlinear dynamic rational expectations models. The innovations in the algorithms are as follows: (1) The entire solution path is obtained simultaneously by taking a small number of Newton steps, using analytic derivatives, over the entire path; (2) The terminal conditions for the solution path are derived from the uniqueness and stability conditions from the linearization of the model around the terminus of the solution path; (3) Unit roots are allowed in the model; (4) Very general models with ...
Working Papers , Paper 96-2

Working Paper
Testing near-rationality using detailed survey data
Palmqvist, Stefan; Bryan, Michael F. (2005)
This paper considers the evidence of ?near-rationality,? as described by Akerlof, Dickens, and Perry (2000). Using detailed surveys of household inflation expectations for the United States and Sweden, we find that the data are generally unsupportive of the near-rationality hypothesis. However, we document that household inflation expectations tend to settle around discrete and largely fixed ?focal points,? suggesting that both U.S. and Swedish households gauge inflation prospects in rather broad, qualitative terms. Moreover, the combination of a low-inflation environment and an inflation ...
Working Papers (Old Series) , Paper 0502

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