CONSISTENT EXPECTATIONS EQUILIBRIA IN MARKOV REGIME SWITCHING MODELS AND INFLATION DYNAMICS
研究了线性马尔可夫体制转换模型中随机一致性预期均衡的存在性，发现误设预期与体制转换结合能产生强内生放大机制，有助于解释美国大缓和前通胀的近单位根动态。
Abstract We study the existence of Stochastic Consistent Expectations Equilibria (SCEE) in linear Markov regime switching models. An SCEE exists when the model‐implied mean and first‐order autocorrelation coincide with those predicted by the agents via misspecified forecasting rules. For a simple regime‐switching monetary policy model, the parametric space where at least one SCEE exists is rather wide, and may extend well beyond the rational expectations equilibrium determinacy frontier. Misspecified expectations combined with regime switching yield a strong endogenous amplification mechanism that help generate the near unit root dynamics for inflation observed in the United States before the Great Moderation.