This paper studies identification in linear rational expectations models with news shocks. We show that news-driven models and indeterminate equilibrium economies with i.i.d. fundamentals are observationally equivalent. This finding calls for carefully designing empirical investigations of news shocks in estimated DSGE models.
News shocks or parametric indeterminacy? An observational equivalence result in linear rational expectations models
SORGE, MARCO MARIA
2012
Abstract
This paper studies identification in linear rational expectations models with news shocks. We show that news-driven models and indeterminate equilibrium economies with i.i.d. fundamentals are observationally equivalent. This finding calls for carefully designing empirical investigations of news shocks in estimated DSGE models.File in questo prodotto:
Non ci sono file associati a questo prodotto.
I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
