Heterogeneous Expectations and Macroeconomic Stability under Adaptive Learning

2018 Fiscal Year Final Research Report

• Project/Area Number: 15K03372
• Research Category: Grant-in-Aid for Scientific Research (C)
• Allocation Type: Multi-year Fund
• Section: 一般
• Research Field: Economic theory
• Research Institution: Kansai University
• Principal Investigator: Nakagawa Ryuichi 関西大学, 経済学部, 教授 (60309614)
• Project Period (FY): 2015-04-01 – 2019-03-31
• Keywords: 適応的学習 / 期待の安定性 / 期待の異質性 / 金融政策 / 情報の不完全性 / サンスポット均衡

Outline of Final Research Achievements

This research project has investigated the macroeconomic stability and monetary policy in the situation where agents form their expectations by "adaptive learning." In particular, this project focuses on the existence of heterogeneity in agents' learning.
This project has found that in the absence of imperfect information, sunspot equilibria are always unstable under adaptive learning. In the presence of imperfect information, on the other hand, sunspot equilibria can be stable. In this situation, aggressive monetary policy can prevent the possibility of sunspot equilibria. The project has also found the relationship between financial market imperfections and the stability of sunspot equilibria.

Free Research Field

マクロ経済学

Academic Significance and Societal Importance of the Research Achievements

第1に、国内のマクロ経済研究であまり注目されていない「適応的学習」の重要性を示すことができる。第2に、金融市場の状態や市場参加者の情報環境に注意を払うことの重要性を示すことができる。第3に、近年、活発に進められている日本のマクロ経済モデルの開発に対して、適応的学習とその異質性を導入することの重要性を示すことができる。