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Learning and equilibrium selection in a monetary overlapping generations model with sticky prices
(2003)
We study adaptive learning in a monetary overlapping generations model with sticky prices and monopolistic competition for the case where learning agents observe current endogenous variables. Observability of current variables is essential for informational consistency of the learning setup with the model set up but generates multiple temporary equilibria when prices are flexible and prevents a straightforward construction of the learning dynamics. Sticky prices overcome this problem by avoiding simultaneity between prices and price expectations. Adaptive learning then robustly selects the determinate (monetary) steady state independent from the degree of imperfect competition. The indeterminate (non-monetary) steady state and non-stationary equilibria are never stable. Stability in a deterministic version of the model may differ because perfect foresight equilibria can be the limit of restricted perceptions equilibria of the stochastic economy with vanishing noise and thereby inherit different stability properties. This discontinuity at the zero variance of shocks suggests to analyze learning in stochastic models.
This paper considers a sticky price model with a cash-in-advance constraint where agents forecast inflation rates with the help of econometric models. Agents use least squares learning to estimate two competing models of which one is consistent with rational expectations once learning is complete. When past performance governs the choice of forecast model, agents may prefer to use the inconsistent forecast model, which generates an equilibrium where forecasts are inefficient. While average output and inflation result the same as under rational expectations, higher moments differ substantially: output and inflation show persistence, inflation responds sluggishly to nominal disturbances, and the dynamic correlations of output and inflation match U.S. data surprisingly well.
This paper compares Bayesian decision theory with robust decision theory where the decision maker optimizes with respect to the worst state realization. For a class of robust decision problems there exists a sequence of Bayesian decision problems whose solution converges towards the robust solution. It is shown that the limiting Bayesian problem displays infinite risk aversion and that decisions are insensitive (robust) to the precise assignment of prior probabilities. This holds independent from whether the preference for robustness is global or restricted to local perturbations around some reference model.
We study optimal nominal demand policy in an economy with monopolistic competition and flexible prices when firms have imperfect common knowledge about the shocks hitting the economy. Parametrizing firms´ information imperfections by a (Shannon) capacity parameter that constrains the amount of information flowing to each firm, we study how policy that minimizes a quadratic objective in output and prices depends on this parameter. When price setting decisions of firms are strategic complements, for a large range of capacity values optimal policy nominally accommodates mark-up shocks in the short-run. This finding is robust to the policy maker observing shocks imperfectly or being uncertain about firms´ capacity parameter. With persistent mark-up shocks accommodation may increase in the medium term, but decreases in the long-run thereby generating a hump-shaped price response and a slow reduction in output. Instead, when prices are strategic substitutes, policy tends to react restrictively to mark-up shocks. However, rational expectations equilibria may then not exist with small amounts of imperfect common knowledge.
We report measurements of single-particle inclusive spectra and two-particle azimuthal distributions of charged hadrons at high transverse momentum (high pT) in minimum bias and central d+Au collisions at sqrt[sNN]=200 GeV. The inclusive yield is enhanced in d+Au collisions relative to binary-scaled p+p collisions, while the two-particle azimuthal distributions are very similar to those observed in p+p collisions. These results demonstrate that the strong suppression of the inclusive yield and back-to-back correlations at high pT previously observed in central Au+Au collisions are due to final-state interactions with the dense medium generated in such collisions.
Pion-kaon correlation functions are constructed from central Au+Au STAR data taken at sqrt[sNN]=130 GeV by the STAR detector at the Relativistic Heavy Ion Collider (RHIC). The results suggest that pions and kaons are not emitted at the same average space-time point. Space-momentum correlations, i.e., transverse flow, lead to a space-time emission asymmetry of pions and kaons that is consistent with the data. This result provides new independent evidence that the system created at RHIC undergoes a collective transverse expansion.
We report high statistics measurements of inclusive charged hadron production in Au+Au and p+p collisions at sqrt[sNN]=200 GeV. A large, approximately constant hadron suppression is observed in central Au+Au collisions for 5<pT<12 GeV/c. The collision energy dependence of the yields and the centrality and pT dependence of the suppression provide stringent constraints on theoretical models of suppression. Models incorporating initial-state gluon saturation or partonic energy loss in dense matter are largely consistent with observations. We observe no evidence of pT-dependent suppression, which may be expected from models incorporating jet attenuation in cold nuclear matter or scattering of fragmentation hadrons.
We present the results of charged particle fluctuations measurements in Au+Au collisions at sqrt[sNN ]=130 GeV using the STAR detector. Dynamical fluctuations measurements are presented for inclusive charged particle multiplicities as well as for identified charged pions, kaons, and protons. The net charge dynamical fluctuations are found to be large and negative providing clear evidence that positive and negative charged particle production is correlated within the pseudorapidity range investigated. Correlations are smaller than expected based on model-dependent predictions for a resonance gas or a quark-gluon gas which undergoes fast hadronization and freeze-out. Qualitative agreement is found with comparable scaled p+p measurements and a heavy ion jet interaction generation model calculation based on independent particle collisions, although a small deviation from the 1/N scaling dependence expected from this model is observed.
Data from the first physics run at the Relativistic Heavy-Ion Collider at Brookhaven National Laboratory, Au+Au collisions at sqrt[sNN]=130 GeV, have been analyzed by the STAR Collaboration using three-pion correlations with charged pions to study whether pions are emitted independently at freeze-out. We have made a high-statistics measurement of the three-pion correlation function and calculated the normalized three-particle correlator to obtain a quantitative measurement of the degree of chaoticity of the pion source. It is found that the degree of chaoticity seems to increase with increasing particle multiplicity.