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- W3206788393 abstract "We argue that dynamic indeterminacy in structural models can help rationalize statistical regularities regarding higher-order properties of macroeconomic time series. Without departing from the Gaussian rational expectations paradigm, we formally establish that any indeterminate equilibrium model admits a linear recursion with multiplicative noise representation. This allows self-fulfilling expectations (sunspots) to enhance endogenous propagation forces that trigger high-probability extreme changes in model variables, while also inducing time variation in conditional volatilities. As a result, even modest, short-lived exogenous shocks can produce large and persistent macroeconomic effects. Using a workhorse New Keynesian framework, we investigate the ability of such a general mechanism to account for observed fat-tailed behavior and volatility clusters in the inflation series over the Great Inflation period of US macroeconomic history." @default.
- W3206788393 created "2021-10-25" @default.
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- W3206788393 date "2021-11-01" @default.
- W3206788393 modified "2023-10-16" @default.
- W3206788393 title "Equilibrium indeterminacy and sunspot tales" @default.
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- W3206788393 doi "https://doi.org/10.1016/j.euroecorev.2021.103933" @default.
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