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Identifying Taylor Rules in Macro-Finance Models / David Backus, Mikhail Chernov, Stanley E. Zin, Irina Zviadadze.
- Format:
- Book
- Author/Creator:
- Backus, David.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w19360.
- NBER working paper series no. w19360
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2013.
- Summary:
- Identification problems arise naturally in forward-looking models when agents observe more than economists. We illustrate the problem in several New Keynesian and macro-finance models in which the Taylor rule includes a shock unseen by economists. We show that identification of the rule's parameters requires restrictions on the form of the shock. A state-space treatment verifies that this works when we observe the state of the economy and when we infer it from observable macroeconomic variables or asset prices.
- Notes:
- Print version record
- August 2013.
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