On expectations and uncertainty in constrained nonlinear dynamic models

Verschueren, Frédéric
(2002) GREMARS — Location: Lille III

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  • Verschueren, FrédéricFUCaM
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Abstract
(en) In this paper, we provide conditions for a nonlinear dynamic model to be the solution of a theoretical setting where agents have a nonlinear looking-Forward behaviour, and where the exogenous effects of both Uncertainty and Levels are allowed to vary through time (according to a multivariate AR-GARCH representation). This so-called FUL model is used to assess the way uncertainty influences investment in Belgium (53-98), a controversal topic in the recent literature devoted to that key economic variable.
Affiliations
  • Louvain School of Management

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Verschueren, F. (2002). On expectations and uncertainty in constrained nonlinear dynamic models. GREMARS, Lille III. https://hdl.handle.net/2078.5/79402