Identifying Taylor Rules in Macro-Finance Models

David Backus, Mikhail Chernov and Stanley Zin
Authors registered in the RePEc Author Service: Irina Zviadadze

No 19360, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: 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.

JEL-codes: E43 E52 G12 (search for similar items in EconPapers)
Date: 2013-08
New Economics Papers: this item is included in nep-mac and nep-mon
Note: AP EFG
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Citations: View citations in EconPapers (3)

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Working Paper: Identifying Taylor Rules in Macro-finance Models (2013)
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