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Les anticipations rationnelles et la rationalité: examen de quelques modèles d'apprentissage

Published online by Cambridge University Press:  17 August 2016

Philippe Mongin
Philippe Mongin*
Affiliation:
DELTA, Parise et CORE, UCL
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Résumé

On se propose ici d'explorer la sémantique de l'hypothèse d'anticipations rationnelles telle qu'on la trouve formalisée chez Muth et Lucas. On montre tout d'abord que cette hypothèse appelle une interprétation tantôt comme condition d'équilibre, tantôt comme exigence de rationalité individuelle. On s'interroge ensuite sur la compatibilité de ces deux interprétations, avant de conclure par la négative. Il n'est même pas établi qu'une fois à l'équilibre d'anticipations rationnelles, des agents rationnels ne devraient pas en dévier. L'hypothèse apparaît comme un concept formel de stationnarité en univers stochastique plutôt qu'elle ne décrit la rationalité cognitive des agents. L'argumentation repose sur une analyse des difficultés et paradoxes qui surgissent dans les modèles de révision des croyances (ou d'“apprentissage des anticipations rationnelles”).

Summary

Summary

This article is intended to clarify a semantic puzzle raised by the definition of rational expectations (R.E.) in Muth's and Lucas's seminal papers. Both authors equivocate between an equilibrium condition interpretation and an individual rationality requirement. The two views of R.E. could be reconciled by demonstrating that the R.E. equilibrium is underpinned by some convergent rational learning process. However, each and every single dynamic R.E. model has failed for some reason, and it is not even sure that, once at the R.E. equilibrium, rational agents should not deviate from it. Hence, there is an unfilled gap yawning between the two views of the rational expectations hypothesis, which is best construed as a formal stationarity condition devised for stochastic contexts.

Keywords

B40 (036)B21 (031)D84 (026)B40 (036)B21 (031)D84 (026)
Type
Research Article
Information
Recherches Économiques de Louvain/ Louvain Economic Review , Volume 57 , Issue 4 , 1991 , pp. 319 - 347
Copyright
Copyright © Université catholique de Louvain, Institut de recherches économiques et sociales 1991 

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Footnotes

*

Texte révisé d'une communication présentée au colloque «Emergence et fondements des concepts d'équilibre en économie», Strasbourg (septembre 1989). L'auteur remercie pour leurs commentaires M. Janssen, A. Kirman, B. Walliser et deux rapporteurs.

References

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