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 |
Files in This Item:
File | Description | Size | Format | |
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Backus_IdentifyingTaylorRules_Aug2013.pdf | 276.79 kB | Adobe PDF | View/Open |
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