References
- Adam, K. (2007), “Experimental Evidence on the Persistence of Output and Inflation,” The Economic Journal, 117, 603–636.
- Allen, H., and Taylor, M. (1990), “Charts, Noise and Fundamentals in the London Foreign Exchange Market,” The Economic Journal, 100, 49–59.
- Andrews, D. W. K., and Monahan, J. C. (1992), “An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator,” Econometrica, 60, 953–966.
- Anufriev, M., Assenza, T., Hommes, C., and Massaro, D. (2013), “Interest Rate Rules and Macroeconomic Stability Under Heterogeneous Expectations,” Macroeconomic Dynamics, 17, 1574–1604.
- Arifovic, J., Bullard, J., and Kostyshyna, O. (2012), “Social Learning and Monetary Policy Rules,” Economic Journal, 123, 38–76.
- Assenza, T., Heemeijer, P., Hommes, C., and Massaro, D. (2011), Individual Expectations and Aggregate Macro Behavior, CeNDEF Working Paper 2011-1, University of Amsterdam.
- Atkeson, A., and Ohanian, L. E. (2001), “Are Phillips Curves Useful for Forecasting Inflation?” Quarterly Review, 25, 2–11.
- Bai, J., and Perron, P. (1998), “Estimating and Testing Linear Models With Multiple Structural Changes,” Econometrica, 66, 47–78.
- Bloomfield, R., and Hales, J. (2002), “Predicting the Next Step of a Random Walk: Experimental Evidence of Regime-Switching Beliefs,” Journal of Financial Economics, 65, 397–414.
- Branch, W. (2004), “The Theory of Rationally Heterogeneous Expectations: Evidence From Survey Data on Inflation Expectations,” The Economic Journal, 114, 592–621.
- Branch, W., and McGough, B. (2009), “Monetary Policy in a new Keynesian Model With Heterogeneous Expectations,” Journal of Economic Dynamics and Control, 33, 1036–1051.
- ——— (2010), “Dynamic Predictors Selection in a New Keynesian Model With Heterogeneous Expectations,” Journal of Economic Dynamics and Control, 34, 1492–1508.
- Branch, W. A., and Evans, G. W. (2017), “Unstable Inflation Targets,” Journal of Money, Credit and Banking, 49, 767–806.
- Brock, W. A., and Hommes, C. H. (1997), “A Rational Route to Randomness,” Econometrica, 65, 1059–1095.
- Campbell, J., and Shiller, R. (1987), “Cointegration and Tests of Present Value Models,” Journal of Political Economy, 95, 1062–1088.
- Canova, F., and Gambetti, L. (2010), “Do Expectations Matter? The Great Moderation Revisited,” American Economic Journal: Macroeconomics, 2, 183–205.
- Carriero, A. (2008), “A Simple Test of the New Keynesian Phillips Curve,” Economics Letters, 100, 241–244.
- Carroll, C. (2003), “Macroeconomic Expectations of Households and Professional Forecasters,” Quarterly Journal of Economics, 118, 269–298.
- Castle, J., Doornick, J., Hendry, D., and Nymoen, R. (2014), “Mis-Specification Testing: Non-Invariance of Expectations Models of Inflation,” Econometric Reviews, 33, 553–574.
- Christiano, L., Eichenbaum, M., and Evans, C. (2005), “Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy,” Journal of Political Economy, 113, 1–45.
- Clark, T. E., and Davig, T. (2011), “Decomposing the Declining Volatility of Long-Term Inflation Expectations,” Journal of Economic Dynamics and Control, 35, 981–999.
- Clark, T. E., and McCracken, M. W. (2013), “Advances in Forecast Evaluation,” in Hanbook of Economic Forecasting (vol. 2), eds. G. Elliott, and A. Timmermann, Amsterdam: Elsevier.
- Coibion, O., and Gorodnichenko, Y. (2012), “What Can Survey Forecasts Tell Us About Information Rigidities?” Journal of Political Economy, 120, 116–159.
- Davidson, R., and MacKinnon, J. G. (1981), “Several Tests for Model Specification in the Presence of Alternative Hypothesis,” Econometrica, 49, 781–793.
- ——— (2009), Econometric Theory and Methods, Oxford, UK: Oxford University Press.
- De Grauwe, P. (2011), “Animal Spirits and Monetary Policy,” Economic Theory, 47, 423–457.
- Del Negro, M., and Eusepi, S. (2011), “Fitting Observed Inflation Expectations,” Journal of Economic Dynamics and Control, 35, 2105–2131.
- Diks, C., and van der Weide, R. (2005), “Herding, A-Synchronous Updating and Heterogeneity in Memory in a CBS,” Journal of Economic Dynamics and Control, 29, 741–763.
- Evans, G. W., and Honkapohja, S. (2001), Learning and Expectations in Macroeconomics, Princeton, NJ: Princeton University Press.
- Frankel, J., and Froot, K. (1990), “Chartists, Fundamentalists and Trading in the Foreign Exchange Market,” American Economic Review, 80, 181–185.
- ———(1991), “Chartists, Fundamentalists and the Demand for Dollars,” in Private Behaviour and Government Policy in Interdependent Economies, eds. A. Courakis, and M. Taylor, Oxford, UK: Clarendon.
- Fuhrer, J. (1997), “The (Un)Importance of Forward-Looking Behavior in Price Specification,” Journal of Money, Credit and Banking, 29, 338–350.
- Fuhrer, J., and Moore, G. (1995), “Inflation Persistence,” Quarterly Journal of Economics, 110, 127–159.
- Galí, J., and Gertler, M. (1999), “Inflation Dynamics: A Structural Econometric Analysis,” Journal of Monetary Economics, 44, 195–222.
- Giacomini, R., and Rossi, B. (2010), “Forecast Comparisons in Unstable Environments,” Journal of Applied Econometrics, 25, 595–620.
- Groen, J. J. J., Paap, R., and Ravazzolo, F. (2013), “Real-Time Inflation Forecasting in a Changing World,” Journal of Business & Economic Statistics, 31, 29–44.
- Hachem, K., and Wu, J. (2014), “Inflation Announcement and Social Dynamics,” Chicago Booth Working Papers 13-76.
- Hall, A., Han, S., and Boldea, O. (2012), “Inference Regarding Multiple Structural Changes in Linear Models With Endogenous Regressors,” Journal of Econometrics, 170, 281–302.
- Harvey, D. I., Leybourne, S. J., and Newbold, P. (1997), “Testing the Equality of Prediction Mean Squared Errors,” International Journal of Forecasting, 13, 281–291.
- Hendry, D., and Mizon, G. (2010), On the Mathematical Basis of Inter-temporal Optimization, Economics Series Working Papers 497, University of Oxford.
- ——— (2014), “Unpredictability in Economic Analysis, Econometric Modelling and Forecasting,” Journal of Econometrics, 182, 186–195.
- Hommes, C., Sonnemans, J., Tuinstra, J., and van de Velden, H. (2005), “Coordination of Expectations in Asset Pricing Experiments,” Review of Financial Studies, 18, 955–980.
- Ito, T. (1990), “Foreign Exchange Rate Expectations: Micro Survey Data,” American Economic Review, 80, 434–449.
- Kim, C., and Kim, Y. (2008), “Is the Backward-Looking Component Important in a New Keynesian Phillips Curve?,” Studies in Nonlinear Dynamics and Econometrics, 12, 1–18.
- Kleibergen, F., and Mavroeidis, S. (2009), “Weak Instrument Robust Tests in GMM and the New Keynesian Phillips Curve,” Journal of Business & Economic Statistics, 27, 293–311.
- Kreps, D. (1998), “Anticipated Utility and Dynamic Choice,” in Frontiers of Research in Economic Theory: The Nancy L. Schwartz Memorial Lectures, 1983–1997, Cambridge: Cambridge University Press.
- Kurmann, A. (2007), “VAR-Based Estimation of Euler Equations With an Application of New Keynesian Pricing,” Journal of Economic Dynamics and Control, 31, 767–796.
- Kurz, M., Piccillo, G., and Wu, H. (2013), “Modeling Diverse Expectations in an Aggregated New Keynesian Model,” Journal of Economic Dynamics and Control, 37, 1403–1433.
- Lindé, J. (2005), “Estimating New-Keynesian Phillips Curves: A Full Information Maximum Likelihood Approach,” Journal of Monetary Economics, 52, 1135–1149.
- Madeira, C., and Zafar, B. (2015), “Heterogeneous Inflation Expectations and Learning,” Journal of Money, Credit and Banking, 47, 867–896.
- Madeira, J. (2014), “Overtime Labor, Employment Frictions, and the New Keynesian Phillips Curve,” The Review of Economics and Statistics, 96, 767–778.
- ——— (2015), “Firm-Specific Capital, Inflation Persistence and the Sources of Business Cycles,” European Economic Review, 74, 229–243.
- Mankiw, N., Reis, R., and Wolfers, J. (2003), “Disagreement About Inflation Expectations,” in NBER Macroeconomics Annual, eds. M. Gertler, and K. Rogoff, Cambridge: National Bureau of Economic Research.
- Manski, C., and McFadden, D. (1981), “Alternative Estimators and Sample Designs for Discrete Choice Analysis,” in Structural Analysis of Discrete Data, eds. C. Manski, and D. McFadden, Cambridge, MA: MIT Press.
- Matějka, F., and McKay, A. (2015), “Rational Inattention to Discrete Choices: A New Foundation for the Multinomial Logit Model,” American Economic Review, 105, 272–298.
- Milani, F. (2011), “Expectation Shocks and Learning as Drivers of the Business Cycle*,” The Economic Journal, 121, 379–401.
- Pfajfar, D., and Santoro, E. (2010), “Heterogeneity, Learning and Information Stickiness in Inflation Expectations,” Journal of Economic Behavior and Organization, 75, 426–444.
- Pfajfar, D., and Zakelj, B. (2014), “Experimental Evidence on Inflation Expectation Formation,” Journal of Economic Dynamics and Control, 44, 147–168.
- Romer, D. (2011), Advanced Macroeconomics, New York: McGraw-Hill.
- Rudd, J. and Whelan, K. (2005a), “Does the Labor’s Share Drive Inflation?” Journal of Money, Credit and Banking, 37, 297–312.
- ——— (2005b), “New Tests of the New Keynesian Phillips Curve,” Journal of Monetary Economics, 52, 1167–1181.
- ——— (2006), “Can Rational Expectations Sticky Price Models Explain Inflation Dynamics?” American Economic Review, 96, 303–320.
- Sargent, T. J. (1999), The Conquest of American Inflation, Princeton, NJ: Princeton University Press.
- Sbordone, A. (2002), “Prices and Unit Labor Costs: A New Test of Price Stickiness,” Journal of Monetary Economics, 49, 265–292.
- ——— (2005), “Do Expected Future Marginal Costs Drive Inflation Dynamics?” Journal of Monetary Economics, 52, 1183–1197.
- Smets, F., and Wouters, R. (2007), “Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach,” American Economic Review, 97, 586–606.
- Stock, J. H., and Watson, M. W. (2007), “Why Has U.S. Inflation Become Harder to Forecast?” Journal of Money, Credit and Banking, 39, 3–33.
- ——— (2009), “Phillips Curve Inflation Forecasts,” in Understanding Inflation and the Implication for the Monetary Policy, eds. Fuhrer, J., Y., K., J., L., and G., O., Cambridge, MA: MIT Press.
- Tuinstra, J., and Wagener, F. (2007), “On Learning Equilibria,” Economic Theory, 30, 493–513.
- Woodford, M. (2001), “The Taylor Rule and Optimal Monetary Policy,” American Economic Review, 91, 232–237.
- Zhang, C., Osborn, D., and Kim, D. (2008), “The New Keynesian Phillips Curve: From Sticky Inflation to Sticky Prices,” Journal of Money, Credit and Banking, 40, 667–699.