Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/74649 
Erscheinungsjahr: 
2011
Schriftenreihe/Nr.: 
Bonn Econ Discussion Papers No. 13/2011
Verlag: 
University of Bonn, Bonn Graduate School of Economics (BGSE), Bonn
Zusammenfassung: 
The problem of weak identification has recently attracted attention in the analysis of structural macroeconomic models. Using robust methods can result in large confidence sets making inference difficult. We overcome this problem in the analysis of a forward-looking Taylor rule by seeking stronger instruments. We suggest exploiting information from a large macroeconomic data set by generating factors and using them as additional instruments. This approach results in a stronger instrument set and hence smaller weak-identification robust confidence sets. It allows us to conclude that there has been a shift in monetary policy from the pre-Volcker regime to the Volcker-Greenspan tenure.
Schlagwörter: 
Taylor Rule
Weak Instruments
Factor Models
JEL: 
E31
E52
C22
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
603.53 kB





Publikationen in EconStor sind urheberrechtlich geschützt.