Learnability of e-stable equilibria

Abstrakt

If private sector agents update their beliefs with a learning algorithm other than recursive least squares, expectational stability or learnability of rational expectations equilibria (REE) is not guaranteed. Monetary policy under commitment, with a determinate and E-stable REE, may not imply robust learning stability of such equilibria if the RLS speed of convergence is slow.

In this paper, we propose a refinement of E-stability conditions that allows us to select equilibria more robust to specification of the learning algorithm within the RLS/SG/GSG class. E-stable equilibria characterized by faster speed of convergence under RLS learning are learnable with SG or generalized SG algorithms as well.

Klíčová slova

• adaptive learning
• expectational stability
• stochastic gradient