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Taylor rule estimation by OLS
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DOI：10.1016/j.jmoneco.2021.10.010.png)
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We argue for Ordinary Least Squares (OLS) estimation of Taylor rules despite an endogeneity bias. To that end, we show analytically in the three-equation New Keynesian model that the OLS bias is proportional to the fraction of the variance of regressors due to monetary shocks. Using simulations, we show this relationship also holds in a quantitative model of the U.S. economy. Since monetary shocks explain only a small fraction of the variance of typical Taylor rule regressors, the bias tends to be small. Estimating a standard Taylor rule using U.S. data, we find quite similar OLS and Instrumental Variables estimates. (C) 2021 Elsevier B.V. All rights reserved.
Keyword:
Taylor rule
OLS
GMM
Endogeneity bias
Weak instruments
New Keynesian models
期刊
IF:
4.1
论文数:
3.2K
被引数:
1.1W
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