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Title: 

Identifying Taylor Rules in Macro-Finance Models

Authors: Backus, David
Chernov, Mikhail
Zin, Stanley
Keywords: forward-looking models; information sets;;monetary policy; exponential-affine models
Issue Date: 26-Aug-2013
Abstract: Identi fication problems arise naturally in forward-looking models when agents observe more than economists. We illustrate the problem in several macro- finance models with Taylor rules. When the shock to the rule is observed by agents but not economists, identifi cation of the rule's parameters requires restrictions on the form of the shock. We show how such restrictions work when we observe the state directly, indirectly, or infer it from observables.
URI: http://hdl.handle.net/2451/31978
Rights: Copyright Backus, Chernov, and Zin, 2013.
Appears in Collections:Economics Working Papers

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