Papel del aprendizaje de expectativas en la amplificación y persistencia del ciclo económico

La presente tesis está desarrollada en tres capítulos que no están necesariamente conectados o presentan causalidad entre ellos, puesto que cada uno está motivado de forma individual y está autocontenido. El primer capítulo evalúa la hipótesis del cumplimiento de las expectativas racionales para las...

Full description

Autores:
Tipo de recurso:
Fecha de publicación:
2022
Institución:
Universidad del Rosario
Repositorio:
Repositorio EdocUR - U. Rosario
Idioma:
spa
OAI Identifier:
oai:repository.urosario.edu.co:10336/33992
Acceso en línea:
https://doi.org/10.48713/10336_33992
https://repository.urosario.edu.co/handle/10336/33992
Palabra clave:
Racionalidad limitada
Aprendizaje de expectativas
Fricciones financieras
Ciclo de negocios
Volatilidad del producto
Persistencia del producto
Encuestas de expectativas
Sector financiero en el ciclo económico
Economía financiera
Bounded rationality
Learning expectations
Financial frictions
Business cycles
Output volatility
Output persistence
Expectations surveys
Rights
License
Atribución-NoComercial-SinDerivadas 2.5 Colombia
id EDOCUR2_8dbadf879d0f47ab1457c83f5609fd79
oai_identifier_str oai:repository.urosario.edu.co:10336/33992
network_acronym_str EDOCUR2
network_name_str Repositorio EdocUR - U. Rosario
repository_id_str
dc.title.es.fl_str_mv Papel del aprendizaje de expectativas en la amplificación y persistencia del ciclo económico
dc.title.TranslatedTitle.es.fl_str_mv The role of learning and expectations in the amplification and persistence of the economic cycle
title Papel del aprendizaje de expectativas en la amplificación y persistencia del ciclo económico
spellingShingle Papel del aprendizaje de expectativas en la amplificación y persistencia del ciclo económico
Racionalidad limitada
Aprendizaje de expectativas
Fricciones financieras
Ciclo de negocios
Volatilidad del producto
Persistencia del producto
Encuestas de expectativas
Sector financiero en el ciclo económico
Economía financiera
Bounded rationality
Learning expectations
Financial frictions
Business cycles
Output volatility
Output persistence
Expectations surveys
title_short Papel del aprendizaje de expectativas en la amplificación y persistencia del ciclo económico
title_full Papel del aprendizaje de expectativas en la amplificación y persistencia del ciclo económico
title_fullStr Papel del aprendizaje de expectativas en la amplificación y persistencia del ciclo económico
title_full_unstemmed Papel del aprendizaje de expectativas en la amplificación y persistencia del ciclo económico
title_sort Papel del aprendizaje de expectativas en la amplificación y persistencia del ciclo económico
dc.contributor.advisor.none.fl_str_mv Jaramillo Mejía, Fernando
dc.subject.es.fl_str_mv Racionalidad limitada
Aprendizaje de expectativas
Fricciones financieras
Ciclo de negocios
Volatilidad del producto
Persistencia del producto
Encuestas de expectativas
Sector financiero en el ciclo económico
topic Racionalidad limitada
Aprendizaje de expectativas
Fricciones financieras
Ciclo de negocios
Volatilidad del producto
Persistencia del producto
Encuestas de expectativas
Sector financiero en el ciclo económico
Economía financiera
Bounded rationality
Learning expectations
Financial frictions
Business cycles
Output volatility
Output persistence
Expectations surveys
dc.subject.ddc.es.fl_str_mv Economía financiera
dc.subject.keyword.es.fl_str_mv Bounded rationality
Learning expectations
Financial frictions
Business cycles
Output volatility
Output persistence
Expectations surveys
description La presente tesis está desarrollada en tres capítulos que no están necesariamente conectados o presentan causalidad entre ellos, puesto que cada uno está motivado de forma individual y está autocontenido. El primer capítulo evalúa la hipótesis del cumplimiento de las expectativas racionales para las encuestas de tasas de interés de los bancos centrales de Brasil, Chile y Colombia. Concluye que no hay evidencia que sustente el cumplimiento de la hipótesis de expectativas racionales en las encuestas. El segundo capítulo analiza si la implementación del aprendizaje adaptativo en un modelo de ciclo de negocios estándar tiene un efecto diferenciado sobre la volatilidad y persistencia del producto según el mercado (laboral o financiero) de origen de dicho aprendizaje, calibrado para cifras observadas de los EE.UU. El estudio muestra la importancia del aprendizaje en el mercado financiero como factor que más contribuye a la volatilidad del producto por medio de la mayor volatilidad de la inversión, así como su capacidad de ajuste a las cifras observadas. El tercer capítulo analiza los efectos del aprendizaje de expectativas sobre dos modelos con fricciones financieras que presentan una visión específica más cercana a cómo funciona el mercado financiero en la realidad. En particular, se pregunta sí el aprendizaje de expectativas le agrega mayor volatilidad al producto en los modelos con fricciones financieras de Carlstrom et al (1997) y Carlstrom et al (1998) sin alterar la persistencia generada por estos modelos. Adicionalmente, los resultados muestran la relevancia del aprendizaje de expectativas en un mercado financiero con fricciones derivadas de la asimetría de información. Finalmente, se genera mejor ajuste a la volatilidad observada del producto para los EE.UU., asociada al mejor ajuste en la volatilidad observada de la inversión y de la tasa de retorno.
publishDate 2022
dc.date.accessioned.none.fl_str_mv 2022-04-05T16:11:41Z
dc.date.available.none.fl_str_mv 2022-04-05T16:11:41Z
dc.date.created.none.fl_str_mv 2022-03-29
dc.type.eng.fl_str_mv doctoralThesis
dc.type.coar.fl_str_mv http://purl.org/coar/resource_type/c_db06
dc.type.document.es.fl_str_mv Tesis
dc.type.spa.spa.fl_str_mv Tesis de doctorado
dc.identifier.doi.none.fl_str_mv https://doi.org/10.48713/10336_33992
dc.identifier.uri.none.fl_str_mv https://repository.urosario.edu.co/handle/10336/33992
url https://doi.org/10.48713/10336_33992
https://repository.urosario.edu.co/handle/10336/33992
dc.language.iso.es.fl_str_mv spa
language spa
dc.rights.*.fl_str_mv Atribución-NoComercial-SinDerivadas 2.5 Colombia
dc.rights.coar.fl_str_mv http://purl.org/coar/access_right/c_abf2
dc.rights.acceso.es.fl_str_mv Abierto (Texto Completo)
dc.rights.uri.*.fl_str_mv http://creativecommons.org/licenses/by-nc-nd/2.5/co/
rights_invalid_str_mv Atribución-NoComercial-SinDerivadas 2.5 Colombia
Abierto (Texto Completo)
http://creativecommons.org/licenses/by-nc-nd/2.5/co/
http://purl.org/coar/access_right/c_abf2
dc.format.extent.es.fl_str_mv 238 pp
dc.format.mimetype.es.fl_str_mv application/pdf
dc.publisher.spa.fl_str_mv Universidad del Rosario
dc.publisher.department.spa.fl_str_mv Facultad de Economía
dc.publisher.program.spa.fl_str_mv Doctorado en Economía
institution Universidad del Rosario
dc.source.bibliographicCitation.es.fl_str_mv Adam, K., Marcet, A., and Nicolini, J. P. (2016). Stock Market Volatility and Learning. The American Finance Association.
Altig, D., Christiano, L. J., Eichenbaum, M., and Lind ́e, J. (2011). Firm-specific capital, nominal rigidities and the business cycle. Review of Economic Dynamics Volume 14, Issue 2, April 2011, Pages 225-247.
Altunbas, Y., Gambacorta, L., and Marques-Ibanez, D. (2012). Do bank characteristics influence the effect of monetary policy on bank risk? Economics Letters 117, 220–222.
Araujo, C. H. and Gaglianone, W. (2010). Survey-based Inflation Expectations in Brazil, volume 1. Bank for International Settlements.
Badarau, C. and Popescu, A. (2014). Monetary policy and credit cycles: A dsge analysis. Economic Modelling 42, 301–312.
Ball, L. and Croushore, D. (1995). Expectations and the effects of monetary policy. NBRER Working paper 5344.
Bernanke, B., Gertler, M., and Gilchrist, S. (1999). The financial accelerator in a quantitative business cycle framework. Handbook of Monetary Economics, Vol. 1C.
Bernanke, B. S. and Gertler, M. (1986). Agency costs, collateral, and business fluctuations. Technical report, National Bureau of Economic Research.
Bianchi, A. C. (2012b). Notes on agency costs, net worth, and business cycle fluctuations : A computable general equilibrium analysis, by carlstrom and fuerst. Notes.
Brissimis, S. and Migiakis, P. (2016). Inflation persistence, learning dynamics and the rationality of inflation expectations, volume 51. SpringerLink.
Carceles-Poveda, E. and Giannitsarou, C. (2007). Adaptative Learning in Practice. ScienceDirect.
Carlstrom, C. T. and Fuerst, T. S. (1997). Agency costs, net worth, and business fluctuations: A computable general equilibrium analysis. The American Economic Review, pages 893–910.
Carlstrom, C. T. and Fuerst, T. S. (1998). Agency costs and business cycles. Economic Theory, 12(3):583–597.
Carvalho, F. and Bugarin, M. (2006). Inflation Expectations in Latin America, volume 0. The Latin American and Caribbean Economic Association - LACEA.
Carvalho, F. and Minella, A. (2012). Survey forecasts in Brazil: A prismatic assessment of epidemiology, performance, and determinants, volume 31. Journal of International Money and Finance.
Cesa-Bianchi, A. and Fernández-Corugedo, E. (2018). Uncertainty, financial frictions, and nominal rigidities: A quantitative investigation. Journal of Money, Credit and Banking, 50(4):603–636.
Chortareas, G., Jitmaneeroj, B., and Wood, A. (2012). Forecast rationality and monetary policy frameworks: Evidence from uk interest rate forecasts. Journal of International Financial Markets, Institutions and Money.
Christiano, L., Motto, R., and Rostagno, M. (2014). Risk shocks. American Economic Review, 104(1), 27–65.
Christiano, L. J., Eichenbaum, M., and Evans, C. L. (2005). Nominal rigidities and the dynamic effects of a shock to monetary policy. Journal of Political Economy Vol. 113, No. 1 (February 2005), pp. 1-45 (45 pages).
Collard, F. and Dellas, H. (2004). The New Keynesian Model with Imperfect Information and Learning. Institut d’ ́Economie Industrielle.
Constantinides, G. (1990). Habit formation: A resolution of the equity premium puzzle. Journal of Political Economy, 1990, vol. 98, issue 3, 519-43
Da Silva Filho, T. N. T. (2013). Banks, Asset Management or Consultancies’ Inflation Forecasts: is there a better forecaster out there? Central Bank of Brazil.
Da Silva Lopes, A. (1998). On the ’restricted cointegration test’ as a test of the rational expectations hypothesis. Routedge.
Dell’Ariccia, G., Laeven, L., and Marquez, R. (2014). Real interest rates, leverage, and bank risk-taking. Journal of Economic Theory 149 (2014) 65–99.
Dias, F., Duarte, C., and Rua, A. (2010). Inflation expectations in the euro area: are consumers rational? Kiel Institute.
Drakos, K., Konstantinou, P., and Thoma, F.-A. (2020). Inflation uncertainty and inflation expectations: Micro-level evidence from eurozone. Elsevier.
Eichenbaum, M. and Singleton, K. (1986). Do equilibrium real business cycle theories explain post-war u.s. business cycles? NBER Macroeconomics Annual.
Elliott, G., Komunjer, I., and Timmermann, A. (2008). Biases in Macroeconomic Forecasts: Irrationality or Asymmetric Loss? Oxford.
Erjavec, N., Lolic, I., Soric, P., and Drager, L. (2015). How (i)rrational are we? A case of Croatian inflation. Croatian Scientific and Professional Journals.
Eusepi, S. and Preston, B. (2012). Expectations, learning, and business cycle fluctuations. American Economic Review, 101(6):2844–72.
Evans, G. and Honkapohja, S. (2001). Learning and expectations in macroeconomics. Libro.
Friedman, B. (1980). Survey evidence on the ‘rationality’ of interest rate expectations. Journal of Monetary Economics.
Fuhrer, J. (2000). Habit formation in consumption and its implications for monetary- policy models. The American Economic Review Vol. 90 No.3 (Jun. 2020), pp. 367- 390.
Gaglianone, W. P., Issler, J. V., Matos, S. M., and Gaglianone, W. P. (2016). Applying a Microfounded-Forecasting Approach to Predict Brazilian Inflation. Central Bank of Brazil.
Galindo, L. M. (1995). La hipótesis de expectativas en el mercado de CETES en México: 1990- 1995. El Colegio de México.
Galí, J. and Rabanal, P. (2004). Technology shocks and aggregate fluctuations: How well does the real business cycle model fit postwar u.s. data. NBER Macroeconomics Annual. Vol. 19. pp. 225-288.
Guillén, D. A. (2008). Ensaios sobre a formação de expectativas de inflação. Dissertação de Mestrado. Pontifícia Universidade Católica do Rio de Janeiro.
Hansen, G. (1985). Indivisible labor and the business cycle. Journal of Monetary Economics. Volume 16, Issue 3, November 1985, Pages 309-327.
Ilek, A. (2017). A Note on the Rationality Test. Bank of Israel.
Iregui, A. M., Nuñez, H., and Otero, J. (2021). Testing the efficiency of inflation and exchange rate forecast revisions in a changing economic environment. Journal of Economic Behavior and Organization.
Iregui-Bohórquez, A. M., Anzola-Bravo, C., Ball ́en-Rubio, L. F., Bejarano-Salcedo, V., González-Molano, E., Grajales-Olarte, A., Guar ́ın-L ́opez, A., Hernández-Montes, M. A., Hernández-Ortega, R., Julio-Román, J. M., Melo-Velandia, L. F., Muñoz-Martínez, J., Núnez-Amórtegui, H., Otero-Cardona, J., P ́erez-Amaya, J., Rincón-Torres, A. D., Romero-Chamorro, J. V., Sánchez-Jabba, A. P., and Torres-Medina, A. (2021). ¿Qué nos dicen las encuestas sobre la formación de expectativas de inflación? Ensayos sobre Política Económica ESPE 100.
Jalil, M., González, E., and Romero, J. V. (2010). Inflación y expectativas de inflación en Colombia. Banco de la República de Colombia.
Jongen, R. and Willem, V. (2008). Further evidence on the rationality of interest rate expectations. Journal of International Financial Markets, Institutions and Money.
Keynes, J. M. (1930). A treatise on money. Book. In 2 Vols., Harcourt, Brace Co.
Keynes, J. M. (1936). The general theory of money, interest and employment. Book.
Kim, S.-J. (2010). Testing the rationality of exchange rate and interest rate expectations: an empirical study of australian survey-based expectations. Applied Economics Volume 29, 1997 - Issue 8.
King, R. G., Plosser, C. I., and Rebelo, S. T. (1988). Production, growth and business cycles. Journal of monetary Economics, 21(2/3):196–232.
Kiyotaki, N. and Moore, J. (1997). Credit cycles. Journal of Political Economy; 1997, vol. 105, No. 2.
Kohlscheen, E. (2012). Uma Nota sobre Erros de Previs ̃ao da Infla ̧c ̃ao de Curto Prazo. Scielo.
Kokoszczynski, R., Lyziak, T., and Stanislawska, E. (2006). Consumer Inflation Expectations. Usefulness of survey-based measures – a cross country study. National Bank of Poland.
Kozlowski, J., Veldkamp, L., and Venkateswaran, V. (2020). The tail that wags the economy: Beliefs and persistent stagnation. Journal of Political Economy Volume 128, Number 8.
Lucas, R. (2013). Expectations and the Neutrality of Money. Elsevier.
Lyziak, T. (2013). Formation of Inflation Expectations by Different Economic Agents. Scielo.
Mallar, G. (2012). Modelling Conigtively Bounded Rationality: an Evaluative Taxonomy. John Wiley Sons Ltd.
Marcet, A., Adam, K., and Kuang, P. (2012). House Price Booms and the Current Account. The University of Chicago Press Journals.
Marcet, A. and Nicolini, J. P. (2003). Recurrent Hyperinflations and Learning. American Economic Association.
Meh, C. and Moran, K. (2010). The role of bank capital in the propagation of shocks. Working Paper 2008-36. Bank of Canada.
Miah, F., Khalifa, A. A., and Hammoudeh, S. (2016). Further evidence on the rationality of interest rate expectations: A comprehensive study of developed and emerging economies. Elsevier.
Miah, F., Rahman, M. S., and Albinali, K. (2016a). Rationality of survey based inflation expectations: A study of 18 emerging economies’ inflation forecasts. ScienceDirect.
Milani, F. (2007). Expectations, Learning and Macroeconomic Persistence. Elsevier.
Mitchell, J. and Weale, M. R. (1961). Rational Expectations and the Theory of Price Movements. The Econometric Society.
Muth, J. (1961). Rational expectations and the theory of price movements. Econometrica 29, 315–335.
Pesaran, H. and Weale, M. (2006). Survey expectations. Handbook of Economic Forecasting.
Pfajfar, D. and Santoro, E. (2007). Heterogeneity and Learning in Inflation Expectation Formation: An Empirical Assessment. Universita’ Degli Studi Di Trento.
Pierdziocha, C., R ̈ulkeb, J.-C., and Stadtmann, G. (2015). Central banks’ inflation forecasts under asymmetric loss: Evidence from four Latin-American countries. Elsevier.
Prat, G. and Uctum, R. (2018). Do markets learn to rationally expect US interest rates? An anchoring approach. Taylor Francis Journals.
Preston, B. (2005). Learning about monetary policy rules when long-horizon expectations matter. International Journal of Central Banking.
Queralto, A. (2020). A model of slow recoveries from financial crises. Journal of Monetary Economics.
Rychalovska, Y. (2015). The Implications of Financial Frictions and Imperfect Knowledge in the Estimated DSGE Model of the U.S. Economy. National Bank of Belgium.
Sargent, T. (1973). Rational Expectations, the Real Rate of Interest and the Natural Rate of Unemployment. Brookings Institution.
Slobodyan, S. and Wouters, R. (2012). Learning in a Medium-Scale DSGE Model with Expectations Based on Small Forecasting Models. American Economic Association.
Smets, F. and Wouters, R. (2007). Shocks and frictions in us business cycles: A bayesian dsge approach. The American Economic Review Vol. 97, No. 3 (Jun., 2007), pp. 586-606 (21 pages).
Stekler, H. O. (2002). The rationality and efficiency of individuals’ forecasts. Chapter 10 in M. P. Clements and D. F. Hendry (eds.) A Companion to Economic Forecasting.
Storm, S. (2021). Cordon of conformity: Why dsge models are not the future of macroeconomics. International Journal of Political Economy, 50(2):77–98.
Sundaresan, S. M. (1989). Intertemporally dependent preferences and the volatility of consumption and wealth. The Review of Financial Studies, Volume 2, Issue 1, January 1989, Pages 73–89.
Ulu, Y. (2015). Rationality of inflation–output forecasts of MMS survey: international evidence. Taylor and Francis.
Williams, N. and Sargent, T. J. (2005). Impacts of priors on convergence and escape from nash inflation. Review of Economic Dynamics, 8(2): 360-391, March.
Winkelried, D. (2017). Inferring inflation expectations from fixed-event forecasts. International Journal of Central Banking. Vol. 13 No. 2.
Zarate, H., Sánchez, K., and Marín, M. (2012). Quantification of Ordinal Surveys and Rational Testing: An Application to the Colombian Monthly Survey of Economic Expectations. Universidad Nacional.
Zunino, G., Lanzilotta, B., and Fernández, A. (2009). ¿Son racionales los pronósticos de inflación? Una discusión sobre la base de la Encuesta de expectativas del BCU. Centro de Investigaciones Económicas - Cinve.
dc.source.instname.none.fl_str_mv instname:Universidad del Rosario
dc.source.reponame.none.fl_str_mv reponame:Repositorio Institucional EdocUR
bitstream.url.fl_str_mv https://repository.urosario.edu.co/bitstreams/791aaa03-eef9-407b-9399-e48aa2f46fef/download
https://repository.urosario.edu.co/bitstreams/83f08bc9-412c-4e5b-8ca4-6ccacb2d930d/download
https://repository.urosario.edu.co/bitstreams/44d013db-20bf-484a-970a-f52700d0363c/download
https://repository.urosario.edu.co/bitstreams/35a6733e-dfbc-4fca-b6c0-2265f20e4d33/download
https://repository.urosario.edu.co/bitstreams/5867e117-e7d9-4028-999e-8b62c60ec2c8/download
bitstream.checksum.fl_str_mv e934ff0925a349519c9afb3a975acb75
841e8f42ecfcf0df534652e5d03dd615
7640728c077bdcd1f42a7795bd166337
fab9d9ed61d64f6ac005dee3306ae77e
217700a34da79ed616c2feb68d4c5e06
bitstream.checksumAlgorithm.fl_str_mv MD5
MD5
MD5
MD5
MD5
repository.name.fl_str_mv Repositorio institucional EdocUR
repository.mail.fl_str_mv edocur@urosario.edu.co
_version_ 1808390969670762496
spelling Jaramillo Mejía, Fernando79389071600Giraldo Rendón, Carlos AndrésDoctor en EconomíaDoctoradoFull timed4c4d69b-6288-4e35-8181-0699dec792f76002022-04-05T16:11:41Z2022-04-05T16:11:41Z2022-03-29La presente tesis está desarrollada en tres capítulos que no están necesariamente conectados o presentan causalidad entre ellos, puesto que cada uno está motivado de forma individual y está autocontenido. El primer capítulo evalúa la hipótesis del cumplimiento de las expectativas racionales para las encuestas de tasas de interés de los bancos centrales de Brasil, Chile y Colombia. Concluye que no hay evidencia que sustente el cumplimiento de la hipótesis de expectativas racionales en las encuestas. El segundo capítulo analiza si la implementación del aprendizaje adaptativo en un modelo de ciclo de negocios estándar tiene un efecto diferenciado sobre la volatilidad y persistencia del producto según el mercado (laboral o financiero) de origen de dicho aprendizaje, calibrado para cifras observadas de los EE.UU. El estudio muestra la importancia del aprendizaje en el mercado financiero como factor que más contribuye a la volatilidad del producto por medio de la mayor volatilidad de la inversión, así como su capacidad de ajuste a las cifras observadas. El tercer capítulo analiza los efectos del aprendizaje de expectativas sobre dos modelos con fricciones financieras que presentan una visión específica más cercana a cómo funciona el mercado financiero en la realidad. En particular, se pregunta sí el aprendizaje de expectativas le agrega mayor volatilidad al producto en los modelos con fricciones financieras de Carlstrom et al (1997) y Carlstrom et al (1998) sin alterar la persistencia generada por estos modelos. Adicionalmente, los resultados muestran la relevancia del aprendizaje de expectativas en un mercado financiero con fricciones derivadas de la asimetría de información. Finalmente, se genera mejor ajuste a la volatilidad observada del producto para los EE.UU., asociada al mejor ajuste en la volatilidad observada de la inversión y de la tasa de retorno.This thesis is comprised by three chapters that are not necessarily connected or linked by causality between them, since each one is individually motivated and self-contained. The first chapter evaluates the hypothesis on meeting rational expectations on the interest rate surveys of the central banks of Brazil, Chile and Colombia. Based on a quantitative analysis, it concludes that there is no evidence to support the fulfillment of the rational expectations hypothesis in the surveys. The second chapter discusses whether the implementation of adaptive learning in a standard business cycle model has a differentiated effect on output volatility and persistence depending on the market (labor or financial) of origin of such learning, gauged for the observed U.S. figures. The study shows the importance of learning in the financial (capital) market as the factor that contributes the most to output volatility by way of increased investment volatility, as well as its ability to adjust to the observed figures. The third chapter analyzes the effects of learning expectations on two models with financial frictions, which present a specific vision which is closer to how the financial market actually works. In particular, it asks whether learning expectations adds greater volatility to the output in the models with financial frictions of Carlstrom (1997) and Carlstrom (1998) without altering the persistence generated by these models. Moreover, the results show the relevance of learning expectations in a financial market with frictions arising from information asymmetry. Lastly, a better adjustment to the observed output volatility for the U.S. is achieved, associated to a better adjustment in the volatility seen in both investment and rate of return.238 ppapplication/pdfhttps://doi.org/10.48713/10336_33992https://repository.urosario.edu.co/handle/10336/33992spaUniversidad del RosarioFacultad de EconomíaDoctorado en EconomíaAtribución-NoComercial-SinDerivadas 2.5 ColombiaAbierto (Texto Completo)EL AUTOR, manifiesta que la obra objeto de la presente autorización es original y la realizó sin violar o usurpar derechos de autor de terceros, por lo tanto la obra es de exclusiva autoría y tiene la titularidad sobre la misma. PARGRAFO: En caso de presentarse cualquier reclamación o acción por parte de un tercero en cuanto a los derechos de autor sobre la obra en cuestión, EL AUTOR, asumirá toda la responsabilidad, y saldrá en defensa de los derechos aquí autorizados; para todos los efectos la universidad actúa como un tercero de buena fe. EL AUTOR, autoriza a LA UNIVERSIDAD DEL ROSARIO, para que en los términos establecidos en la Ley 23 de 1982, Ley 44 de 1993, Decisión andina 351 de 1993, Decreto 460 de 1995 y demás normas generales sobre la materia, utilice y use la obra objeto de la presente autorización. -------------------------------------- POLITICA DE TRATAMIENTO DE DATOS PERSONALES. Declaro que autorizo previa y de forma informada el tratamiento de mis datos personales por parte de LA UNIVERSIDAD DEL ROSARIO para fines académicos y en aplicación de convenios con terceros o servicios conexos con actividades propias de la academia, con estricto cumplimiento de los principios de ley. Para el correcto ejercicio de mi derecho de habeas data cuento con la cuenta de correo habeasdata@urosario.edu.co, donde previa identificación podré solicitar la consulta, corrección y supresión de mis datos.http://creativecommons.org/licenses/by-nc-nd/2.5/co/http://purl.org/coar/access_right/c_abf2Adam, K., Marcet, A., and Nicolini, J. P. (2016). Stock Market Volatility and Learning. The American Finance Association.Altig, D., Christiano, L. J., Eichenbaum, M., and Lind ́e, J. (2011). Firm-specific capital, nominal rigidities and the business cycle. Review of Economic Dynamics Volume 14, Issue 2, April 2011, Pages 225-247.Altunbas, Y., Gambacorta, L., and Marques-Ibanez, D. (2012). Do bank characteristics influence the effect of monetary policy on bank risk? Economics Letters 117, 220–222.Araujo, C. H. and Gaglianone, W. (2010). Survey-based Inflation Expectations in Brazil, volume 1. Bank for International Settlements.Badarau, C. and Popescu, A. (2014). Monetary policy and credit cycles: A dsge analysis. Economic Modelling 42, 301–312.Ball, L. and Croushore, D. (1995). Expectations and the effects of monetary policy. NBRER Working paper 5344.Bernanke, B., Gertler, M., and Gilchrist, S. (1999). The financial accelerator in a quantitative business cycle framework. Handbook of Monetary Economics, Vol. 1C.Bernanke, B. S. and Gertler, M. (1986). Agency costs, collateral, and business fluctuations. Technical report, National Bureau of Economic Research.Bianchi, A. C. (2012b). Notes on agency costs, net worth, and business cycle fluctuations : A computable general equilibrium analysis, by carlstrom and fuerst. Notes.Brissimis, S. and Migiakis, P. (2016). Inflation persistence, learning dynamics and the rationality of inflation expectations, volume 51. SpringerLink.Carceles-Poveda, E. and Giannitsarou, C. (2007). Adaptative Learning in Practice. ScienceDirect.Carlstrom, C. T. and Fuerst, T. S. (1997). Agency costs, net worth, and business fluctuations: A computable general equilibrium analysis. The American Economic Review, pages 893–910.Carlstrom, C. T. and Fuerst, T. S. (1998). Agency costs and business cycles. Economic Theory, 12(3):583–597.Carvalho, F. and Bugarin, M. (2006). Inflation Expectations in Latin America, volume 0. The Latin American and Caribbean Economic Association - LACEA.Carvalho, F. and Minella, A. (2012). Survey forecasts in Brazil: A prismatic assessment of epidemiology, performance, and determinants, volume 31. Journal of International Money and Finance.Cesa-Bianchi, A. and Fernández-Corugedo, E. (2018). Uncertainty, financial frictions, and nominal rigidities: A quantitative investigation. Journal of Money, Credit and Banking, 50(4):603–636.Chortareas, G., Jitmaneeroj, B., and Wood, A. (2012). Forecast rationality and monetary policy frameworks: Evidence from uk interest rate forecasts. Journal of International Financial Markets, Institutions and Money.Christiano, L., Motto, R., and Rostagno, M. (2014). Risk shocks. American Economic Review, 104(1), 27–65.Christiano, L. J., Eichenbaum, M., and Evans, C. L. (2005). Nominal rigidities and the dynamic effects of a shock to monetary policy. Journal of Political Economy Vol. 113, No. 1 (February 2005), pp. 1-45 (45 pages).Collard, F. and Dellas, H. (2004). The New Keynesian Model with Imperfect Information and Learning. Institut d’ ́Economie Industrielle.Constantinides, G. (1990). Habit formation: A resolution of the equity premium puzzle. Journal of Political Economy, 1990, vol. 98, issue 3, 519-43Da Silva Filho, T. N. T. (2013). Banks, Asset Management or Consultancies’ Inflation Forecasts: is there a better forecaster out there? Central Bank of Brazil.Da Silva Lopes, A. (1998). On the ’restricted cointegration test’ as a test of the rational expectations hypothesis. Routedge.Dell’Ariccia, G., Laeven, L., and Marquez, R. (2014). Real interest rates, leverage, and bank risk-taking. Journal of Economic Theory 149 (2014) 65–99.Dias, F., Duarte, C., and Rua, A. (2010). Inflation expectations in the euro area: are consumers rational? Kiel Institute.Drakos, K., Konstantinou, P., and Thoma, F.-A. (2020). Inflation uncertainty and inflation expectations: Micro-level evidence from eurozone. Elsevier.Eichenbaum, M. and Singleton, K. (1986). Do equilibrium real business cycle theories explain post-war u.s. business cycles? NBER Macroeconomics Annual.Elliott, G., Komunjer, I., and Timmermann, A. (2008). Biases in Macroeconomic Forecasts: Irrationality or Asymmetric Loss? Oxford.Erjavec, N., Lolic, I., Soric, P., and Drager, L. (2015). How (i)rrational are we? A case of Croatian inflation. Croatian Scientific and Professional Journals.Eusepi, S. and Preston, B. (2012). Expectations, learning, and business cycle fluctuations. American Economic Review, 101(6):2844–72.Evans, G. and Honkapohja, S. (2001). Learning and expectations in macroeconomics. Libro.Friedman, B. (1980). Survey evidence on the ‘rationality’ of interest rate expectations. Journal of Monetary Economics.Fuhrer, J. (2000). Habit formation in consumption and its implications for monetary- policy models. The American Economic Review Vol. 90 No.3 (Jun. 2020), pp. 367- 390.Gaglianone, W. P., Issler, J. V., Matos, S. M., and Gaglianone, W. P. (2016). Applying a Microfounded-Forecasting Approach to Predict Brazilian Inflation. Central Bank of Brazil.Galindo, L. M. (1995). La hipótesis de expectativas en el mercado de CETES en México: 1990- 1995. El Colegio de México.Galí, J. and Rabanal, P. (2004). Technology shocks and aggregate fluctuations: How well does the real business cycle model fit postwar u.s. data. NBER Macroeconomics Annual. Vol. 19. pp. 225-288.Guillén, D. A. (2008). Ensaios sobre a formação de expectativas de inflação. Dissertação de Mestrado. Pontifícia Universidade Católica do Rio de Janeiro.Hansen, G. (1985). Indivisible labor and the business cycle. Journal of Monetary Economics. Volume 16, Issue 3, November 1985, Pages 309-327.Ilek, A. (2017). A Note on the Rationality Test. Bank of Israel.Iregui, A. M., Nuñez, H., and Otero, J. (2021). Testing the efficiency of inflation and exchange rate forecast revisions in a changing economic environment. Journal of Economic Behavior and Organization.Iregui-Bohórquez, A. M., Anzola-Bravo, C., Ball ́en-Rubio, L. F., Bejarano-Salcedo, V., González-Molano, E., Grajales-Olarte, A., Guar ́ın-L ́opez, A., Hernández-Montes, M. A., Hernández-Ortega, R., Julio-Román, J. M., Melo-Velandia, L. F., Muñoz-Martínez, J., Núnez-Amórtegui, H., Otero-Cardona, J., P ́erez-Amaya, J., Rincón-Torres, A. D., Romero-Chamorro, J. V., Sánchez-Jabba, A. P., and Torres-Medina, A. (2021). ¿Qué nos dicen las encuestas sobre la formación de expectativas de inflación? Ensayos sobre Política Económica ESPE 100.Jalil, M., González, E., and Romero, J. V. (2010). Inflación y expectativas de inflación en Colombia. Banco de la República de Colombia.Jongen, R. and Willem, V. (2008). Further evidence on the rationality of interest rate expectations. Journal of International Financial Markets, Institutions and Money.Keynes, J. M. (1930). A treatise on money. Book. In 2 Vols., Harcourt, Brace Co.Keynes, J. M. (1936). The general theory of money, interest and employment. Book.Kim, S.-J. (2010). Testing the rationality of exchange rate and interest rate expectations: an empirical study of australian survey-based expectations. Applied Economics Volume 29, 1997 - Issue 8.King, R. G., Plosser, C. I., and Rebelo, S. T. (1988). Production, growth and business cycles. Journal of monetary Economics, 21(2/3):196–232.Kiyotaki, N. and Moore, J. (1997). Credit cycles. Journal of Political Economy; 1997, vol. 105, No. 2.Kohlscheen, E. (2012). Uma Nota sobre Erros de Previs ̃ao da Infla ̧c ̃ao de Curto Prazo. Scielo.Kokoszczynski, R., Lyziak, T., and Stanislawska, E. (2006). Consumer Inflation Expectations. Usefulness of survey-based measures – a cross country study. National Bank of Poland.Kozlowski, J., Veldkamp, L., and Venkateswaran, V. (2020). The tail that wags the economy: Beliefs and persistent stagnation. Journal of Political Economy Volume 128, Number 8.Lucas, R. (2013). Expectations and the Neutrality of Money. Elsevier.Lyziak, T. (2013). Formation of Inflation Expectations by Different Economic Agents. Scielo.Mallar, G. (2012). Modelling Conigtively Bounded Rationality: an Evaluative Taxonomy. John Wiley Sons Ltd.Marcet, A., Adam, K., and Kuang, P. (2012). House Price Booms and the Current Account. The University of Chicago Press Journals.Marcet, A. and Nicolini, J. P. (2003). Recurrent Hyperinflations and Learning. American Economic Association.Meh, C. and Moran, K. (2010). The role of bank capital in the propagation of shocks. Working Paper 2008-36. Bank of Canada.Miah, F., Khalifa, A. A., and Hammoudeh, S. (2016). Further evidence on the rationality of interest rate expectations: A comprehensive study of developed and emerging economies. Elsevier.Miah, F., Rahman, M. S., and Albinali, K. (2016a). Rationality of survey based inflation expectations: A study of 18 emerging economies’ inflation forecasts. ScienceDirect.Milani, F. (2007). Expectations, Learning and Macroeconomic Persistence. Elsevier.Mitchell, J. and Weale, M. R. (1961). Rational Expectations and the Theory of Price Movements. The Econometric Society.Muth, J. (1961). Rational expectations and the theory of price movements. Econometrica 29, 315–335.Pesaran, H. and Weale, M. (2006). Survey expectations. Handbook of Economic Forecasting.Pfajfar, D. and Santoro, E. (2007). Heterogeneity and Learning in Inflation Expectation Formation: An Empirical Assessment. Universita’ Degli Studi Di Trento.Pierdziocha, C., R ̈ulkeb, J.-C., and Stadtmann, G. (2015). Central banks’ inflation forecasts under asymmetric loss: Evidence from four Latin-American countries. Elsevier.Prat, G. and Uctum, R. (2018). Do markets learn to rationally expect US interest rates? An anchoring approach. Taylor Francis Journals.Preston, B. (2005). Learning about monetary policy rules when long-horizon expectations matter. International Journal of Central Banking.Queralto, A. (2020). A model of slow recoveries from financial crises. Journal of Monetary Economics.Rychalovska, Y. (2015). The Implications of Financial Frictions and Imperfect Knowledge in the Estimated DSGE Model of the U.S. Economy. National Bank of Belgium.Sargent, T. (1973). Rational Expectations, the Real Rate of Interest and the Natural Rate of Unemployment. Brookings Institution.Slobodyan, S. and Wouters, R. (2012). Learning in a Medium-Scale DSGE Model with Expectations Based on Small Forecasting Models. American Economic Association.Smets, F. and Wouters, R. (2007). Shocks and frictions in us business cycles: A bayesian dsge approach. The American Economic Review Vol. 97, No. 3 (Jun., 2007), pp. 586-606 (21 pages).Stekler, H. O. (2002). The rationality and efficiency of individuals’ forecasts. Chapter 10 in M. P. Clements and D. F. Hendry (eds.) A Companion to Economic Forecasting.Storm, S. (2021). Cordon of conformity: Why dsge models are not the future of macroeconomics. International Journal of Political Economy, 50(2):77–98.Sundaresan, S. M. (1989). Intertemporally dependent preferences and the volatility of consumption and wealth. The Review of Financial Studies, Volume 2, Issue 1, January 1989, Pages 73–89.Ulu, Y. (2015). Rationality of inflation–output forecasts of MMS survey: international evidence. Taylor and Francis.Williams, N. and Sargent, T. J. (2005). Impacts of priors on convergence and escape from nash inflation. Review of Economic Dynamics, 8(2): 360-391, March.Winkelried, D. (2017). Inferring inflation expectations from fixed-event forecasts. International Journal of Central Banking. Vol. 13 No. 2.Zarate, H., Sánchez, K., and Marín, M. (2012). Quantification of Ordinal Surveys and Rational Testing: An Application to the Colombian Monthly Survey of Economic Expectations. Universidad Nacional.Zunino, G., Lanzilotta, B., and Fernández, A. (2009). ¿Son racionales los pronósticos de inflación? Una discusión sobre la base de la Encuesta de expectativas del BCU. Centro de Investigaciones Económicas - Cinve.instname:Universidad del Rosarioreponame:Repositorio Institucional EdocURRacionalidad limitadaAprendizaje de expectativasFricciones financierasCiclo de negociosVolatilidad del productoPersistencia del productoEncuestas de expectativasSector financiero en el ciclo económicoEconomía financiera332600Bounded rationalityLearning expectationsFinancial frictionsBusiness cyclesOutput volatilityOutput persistenceExpectations surveysPapel del aprendizaje de expectativas en la amplificación y persistencia del ciclo económicoThe role of learning and expectations in the amplification and persistence of the economic cycledoctoralThesisTesisTesis de doctoradohttp://purl.org/coar/resource_type/c_db06TEXTGiraldoRendon-CarlosAndres-2022.pdf.txtGiraldoRendon-CarlosAndres-2022.pdf.txtExtracted texttext/plain335246https://repository.urosario.edu.co/bitstreams/791aaa03-eef9-407b-9399-e48aa2f46fef/downloade934ff0925a349519c9afb3a975acb75MD54THUMBNAILGiraldoRendon-CarlosAndres-2022.pdf.jpgGiraldoRendon-CarlosAndres-2022.pdf.jpgGenerated Thumbnailimage/jpeg2319https://repository.urosario.edu.co/bitstreams/83f08bc9-412c-4e5b-8ca4-6ccacb2d930d/download841e8f42ecfcf0df534652e5d03dd615MD55ORIGINALGiraldoRendon-CarlosAndres-2022.pdfGiraldoRendon-CarlosAndres-2022.pdfTesis que contiene tres artículosapplication/pdf3109964https://repository.urosario.edu.co/bitstreams/44d013db-20bf-484a-970a-f52700d0363c/download7640728c077bdcd1f42a7795bd166337MD51LICENSElicense.txtlicense.txttext/plain1475https://repository.urosario.edu.co/bitstreams/35a6733e-dfbc-4fca-b6c0-2265f20e4d33/downloadfab9d9ed61d64f6ac005dee3306ae77eMD52CC-LICENSElicense_rdflicense_rdfapplication/rdf+xml; charset=utf-8811https://repository.urosario.edu.co/bitstreams/5867e117-e7d9-4028-999e-8b62c60ec2c8/download217700a34da79ed616c2feb68d4c5e06MD5310336/33992oai:repository.urosario.edu.co:10336/339922022-08-19 12:39:06.713http://creativecommons.org/licenses/by-nc-nd/2.5/co/Atribución-NoComercial-SinDerivadas 2.5 Colombiahttps://repository.urosario.edu.coRepositorio institucional EdocURedocur@urosario.edu.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

Publicaciones similares