Causality, Structure, and the Uniqueness of Rational Expectations Equilibria

摘要

Consider a rational expectations (RE) model that includes a relationship between variables x_t and z_(t+l). To be considered structural and potentially useful as a guide to actual behavior, this model must specify whether x_t is influenced by the expectation at t of z_(t+l) or, alternatively, that z_(t+l) is directly influenced (via some inertial mechanism) by x_t (i.e., that z_t is influenced by x_(t-l)). These arc quite different phenomena. Here it is shown that, for a very broad class of multivariatc linear RE models, distinct causal specifications involving both expectational and inertial influences will be uniquely associated with distinct solutions-which will result operationally from different specifications concerning which of the model's variables are predetermined. It follows that for a given structure, and with a natural continuity assumption, there is only one RE solution that is fully consistent with the model's specification. Furthermore, this solution docs not involve "sunspot" phenomena.