期刊名称：Cardiff Economics Working Papers / Cardiff University, Cardiff Business School
印刷版ISSN：1749-6101
出版年度：2006
卷号：2006
出版社：Cardiff University
摘要：Previous attempts at modelling current observed endogenous financial variables in a macroeconomic model have concentrated on only one observed endogenous variable - namely the short-term rate of interest. The solution method for dealing with more than one observed endogenous variable has thus far been computationally intractable. This paper applies a general search algorithm to a macroeconomic model with an observed interest rate and exchange rate to solve the signal extraction problem. The informational advantage of applying the signal extraction algorithm to all the current observed endogenous variables is examined in terms of the implication for policy from the misperceptions of specific macroeconomic shocks.
关键词：Rational Expectations ; Partial Current Information ; Signal Extraction ; Macroeconomic modelling ;
