Determinacy and Identification with Taylor Rules

By John H. Cochrane. Journal of Political Economy, 2007

411 citations recorded by the source corpus.

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Citations in the corpus

Appendix: Monetary Policy Drivers of Bond and Equity Risks (2020, neutral): “The contribution of this paper is twofold.”
Understanding Inflation as a Joint Monetary-Fiscal Phenomenon (2016, background): “Sims (1999b), Cochrane (2011a) and Del Negro and Sims (2015a) thoroughly explore those equilibria to argue that a determinate price level requires appropriate fiscal backing.”
Heterogeneous Expectations in Monetary DSGE Models (2013, neutral): “In fact, the extremes of the considered interval correspond respectively 17See for example Cochrane (2010) for a discussion. to the minimum and the maximum fraction of agents estimated in the empirical literature cited above.”
Macroeconomic Dynamics Near the ZLB: A Tale of Two Countries (2016, background): “Thus, we are essentially imposing the existence of a second steady state (which requires that ψ1 > 1) when we are estimating (11)This problem is well recognized in the literature; see, for instance, Cochrane (2011) for a theoretical appraisal and Mavroeidis (2010) for identification-robust inference”
Understanding Policy in the Great Recession: Some Unpleasant Fiscal Arithmetic (2010, neutral): “The web appendix (Cochrane, 2010a) derives this and related equations.”
A Behavioral New Keynesian Model (2020, positive): “However, we do not see that in Japan since the late 1980s or in the Western economies in the aftermath of the 2008 crisis (Cochrane (2017)). This can be explained with this behavioral model if agents are myopic enough and if firms rely enough on “inflation guidance” by the central bank. Forward guid”
Empirical Evidence on Inflation Expectations in the New Keynesian Phillips Curve (2014, background): “In other words, effective economic policy is bad for econometric analysis (Mavroeidis 2010; Cochrane 2011).”
Dynamic Identification of Dynamic Stochastic General Equilibrium Models (2011, result): “This result, which was overlooked in An and Schorfheide (2007), supports the argument of Cochrane (2011) that parameters of the Taylor rule are not identified without restrictions.”
Bond Market Exposures to Macroeconomic and Monetary Policy Risks (2017, neutral): “Figure 7: Excess Bond Return Predictability Regression by Cochrane and Piazzesi (2005)”