The article considers the possibility that asset prices might deviate from intrinsic values
based on market fundamentals. Three broad categories of theory are surveyed:(a) growing …

This chapter provides a survey of the recent work on learning in the context of
macroeconomics. Learning has several roles. First, it provides a boundedly rational model of …

A number of studies (eg, Robert J. Shiller, 1981; Olivier J. Blanchard and Mark Watson,
1982; Kenneth D. West, 1988) have argued that dividend and stock price data are not …

Several puzzling aspects of the behavior of United States stock prices can be explained by
the presence of a specific type of rational bubble that depends exclusively on dividends. We …

In this book, the author adopts a state space approach to time series modeling to provide a
new, computer-oriented method for building models for vector-valued time series. This …

This book is an outgrowth of class notes of a graduate level seminar on optimization of
stochastic systems. Most of the material in the book was taught for the first time during the …

Because sunspot equilibria seem to be of central importance for an understanding of
rational expectations, we seek here to characterize completely a limited class of sunspot …

The US dollar price of the UK pound sterling is tested for a speculative bubble, defined as a
period with a nonzero median in excess returns. A nonparametric procedure is developed …

Linear models involving expectations of future endogenous variables generally have
multiple rational expectations equilibria. This paper investigates the stability of solutions in …

This chapter provides a review of solution and estimation methods available in the literature
for the analysis of multivariate linear rational expectations models, and proposes new …