Identifying Taylor rules in macro-finance models

Identification 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, identification 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.

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Year of publication:	2013-08
Authors:	Backus, David ; Chernov, Mikhail ; Zin, Stanley E.
Institutions:	C.E.P.R. Discussion Papers
Subject:	exponential-affine models \| forward-looking models \| information sets \| monetary policy

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Extent:	application/pdf
Series:	CEPR Discussion Papers.
Type of publication:	Book / Working Paper
Notes:	Number 9611
Classification:	E43 - Determination of Interest Rates; Term Structure Interest Rates ; E52 - Monetary Policy (Targets, Instruments, and Effects) ; G12 - Asset Pricing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011083775