Roger Farmer iz UCLA že nekaj časa dela na spreminjanju predpostavk mikro obnašanja v makroekonomskih modelih. Njegova teza je, da sama predpostavka racionalnih pričakovanj ni napačna, problematična postane v povezavi s predpostavko enega in edinega možnega ravnotežja. Zato, kot sem pisal že pred časom, predlaga kontinuum (neskončno možnih) ravnotežij, do katerih pa posamezniki pridejo prek funkcije verjetja (beliefs). Če se v standardnem DSGE modelu spremenijo fundamenti, je treba spremeniti funkcionalno povezavo, kako posamezniki napovedujejo prihodnost. V Farmerjevem predlogu, pa so verjetja posameznikov že fundamenti: če se fundamenti spremenijo, posamezniki prek funkcije verjetja izberejo drugo ravnotežje.

Along with the rest of modern macroeconomics, the rational expectations (RE) assumption has gotten quite a bit of flack lately. I don’t think all of it is deserved.  It is not the rational expectations (RE) assumption that is at fault: It is the rational expectations assumption in conjunction with the assumption of a unique equilibrium.

In standard dynamic stochastic general equilibrium (DSGE) models there is a single rational expectations equilibrium. In the models I work with there are many rational expectations equilibria. Not just one, or two or three: but an infinite dimensional continuum of them. That is not a problem. It is an opportunity that I exploit to model the idea that beliefs matter. In my work, I close my models by adding an equation that I call a ‘belief function‘. The belief function is an effective way of operationalizing the Old Keynesian assumption of ‘animal spirits’. It is a forecasting rule that explains how people use current information to predict the future. That rule replaces the classical  assumption that the quantity of labor demanded is always equal to the quantity of labor supplied.

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Stick with the unique RE assumption and suppose that the fundamentals change.  Perhaps there is a new Fed Chairperson, or perhaps someone invents a new technology. In a standard DSGE model, the rule that people use to forecast the future would need to change. The belief function in this world is endogenous.

Now move to my parallel universe where there is a continuum of RE equilibria.  In my universe the rule that people use to forecast the future is critical.  It is the belief function that selects the equilibrium. If people believe that there will be high unemployment; that belief will be self-fulfilling.

In my world, ask what happens if the fundamentals change.  Perhaps there is a new Fed Chairperson or perhaps there is a new technology.  In this world, the belief function selects a new equilibrium. Beliefs are fundamental!

Are beliefs really fundamental?  I think so. This is a not a radical idea; it is a new way of understanding an old one. Central bankers have known for a long time that expectations of future inflation are highly persistent. That persistence is often cited as one of the strikes against either the rational expectations assumption or the equilibrium assumption. I believe that both of those accusations are misplaced. Persistent expectations is a strike against rational expectations PLUS the uniqueness assumption. It is the uniqueness assumption that needs to go; not the rational expectations assumption which simply reflects a fact that we have known for a long time: Expectations are incredibly persistent. Welcome to my alternate reality!

Preberite več v Roger Farmer, macroblog