We study the existence of Stochastic Consistent Expectations Equilibria (SCEE) in linear Markov regime switching models. An SCEE exists when the model-implied mean and first-order autocorrelation coincide with those predicted by the agents via misspecified forecasting rules. For a simple regime-switching monetary policy model, the parametric space where at least one SCEE exists is rather wide, and may extend well beyond the rational expectations equilibrium determinacy frontier. Misspecified expectations combined with regime switching yield a strong endogenous amplification mechanism that help generate the near unit root dynamics for inflation observed in the United States before the Great Moderation.

中文翻译：

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马尔可夫体制切换模型和通货膨胀动力学中的一致期望均衡

我们研究了线性马尔可夫状态转换模型中随机一致期望均衡 (SCEE) 的存在。当模型隐含的均值和一阶自相关与代理通过错误指定的预测规则预测的自相关一致时，存在 SCEE。对于一个简单的政权转换货币政策模型，至少存在一个 SCEE 的参数空间相当广泛，并且可能远远超出理性预期均衡确定性边界。错误指定的预期与政权转换相结合产生了强大的内生放大机制，有助于产生大温和之前在美国观察到的近单位根通货膨胀动态。