Economic Complexity: Chaos, Sunspots, Bubbles, and Nonlinearity: Proceedings of the Fourth International Symposium in Economic Theory and Econometrics

by Edited by William A. Barnett , John Geweke , Karl Shell

• ISBN13: 9780521023122
• ISBN10: 0521023122
• Format: Paperback
• Copyright: 2005-11-24
• Publisher: Cambridge University Press

Summary

The contents of this volume comprise the proceedings of the International Symposia in Economic Theory and Econometrics conference held in 1987 at the IC^T2 (Innovation, Creativity, and Capital) Institute at the University of Texas at Austin. The essays present fundamental new research on the analysis of complicated outcomes in relatively simple macroeconomic models. The book covers econometric modelling and time series analysis techniques in five parts. Part I focuses on sunspot equilibria, the study of uncertainty generated by nonstochastic economic models. Part II examines the more traditional examples of deterministic chaos: bubbles, instability, and hyperinflation. Part III contains the most current literature dealing with empirical tests for chaos and strange attractors. Part IV deals with chaos and informational complexity. Part V, Nonlinear Econometric Modelling, includes tests for and applications of nonlinearity.

Table of Contents

Editor's introduction	vii
List of contributors	x
Part I. Sunspot equilibria
1. Sunspot equilibrium in an overlapping-generations economy with an idealized contingent-commodities market	3	(18)
David Cass and Karl Shell
2. On stationary sunspot equilibria of order k	21	(24)
Pierre-André Chiappori and Roger Guesnerie
3. Local bifurcations and stationary sunspots	45	(16)
Jean-Michel Grandmont
4. On the nonequivalence of the Arrow-securities game and the contingent-commodities game	61	(28)
James Peck and Karl Shell
Part II. Bubbles, instability, and hyperinflation
5. Endogenous financial-production cycles in a macroeconomic model	89	(12)
Duncan K. Foley
6. Speculative bubbles and exchange of information on the market of a storable good	101	(18)
L. Broze, C. Gourieroux, and A. Szafarz
7. Least-squares learning and the dynamics of hyperinflation	119	(22)
Albert Marcet and Thomas J. Sargent
Part III. Empirical tests for chaos
8. A comparison between the conventional econometric approach to structural inference and the nonparametric chaotic attractor approach	141	(72)
William A. Barnett and Seungmook S. Choi
9. Nonlinear dynamics and GNP data	213
José A. Scheinkman and Blake LeBaron
Part IV. Chaos and informational complexity in economic theory
10. Paths of optimal accumulation in two-sector models	231	(22)
Michele Boldrin
11. Economic growth in the very long run: on the multiple-phase interaction of population, technology, and social infrastructure	253	(38)
Richard H. Day and Jean-Luc Walter
12. When are small frictions negligible?	291	(18)
Stephen E. Spear
13. Imperfect financial intermediation and complex dynamics	309	(28)
Michael Woodford
Part V. Nonlinear econometric modeling
14. Modeling with normal polynomial expansions	337	(24)
John Geweke
15. Hysteresis and the evolution of postwar U.S. and U.K. unemployment	361	(22)
James H. Stock
16. Evidence of nonlinearity in the trade-by-trade stock market return generating process	383
Melvin J. Hinich and Douglas M. Patterson