Advanced Search
MyIDEAS: Login to save this paper or follow this series

The Effect of Data Revisions on the Basic New Keynesian Model

Contents:

Author Info

  • María-Dolores, Ramón
  • Londoño, Juan M.
  • Vázquez Pérez, Jesús

Abstract

This paper proposes an extended version of the basic New Keynesian monetary (NKM) model which contemplates revision processes of output and inflation data in order to assess the importance of data revisions on the estimated monetary policy rule parameters and the transmission of policy shocks. Our empirical evidence based on a structural econometric approach suggests that although the initial announcements of output and inflation are not rational forecasts of revised output and inflation data, ignoring the presence of non well-behaved revision processes may not be a serious drawback in the analysis of monetary policy in this framework. However, the transmission of inflation-push shocks is largely affected by considering data revisions. The latter being especially true when the nominal stickiness parameter is estimated taking into account data revision processes.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: https://addi.ehu.es/bitstream/10810/8760/1/wp2012-05.pdf
Download Restriction: no

Bibliographic Info

Paper provided by University of the Basque Country - Department of Foundations of Economic Analysis II in its series DFAEII Working Papers with number 2012-05.

as in new window
Length:
Date of creation: 2012
Date of revision:
Handle: RePEc:ehu:dfaeii:8760

Contact details of provider:
Postal: Avenida Lehendakari Aguirre, 83, 48015 Bilbao
Phone: 34-946013774
Fax: 34-946017123
Web page: http://www.dfaeii.ehu.es
More information through EDIRC

Order Information:
Postal: Dpto. de Fundamentos del Análisis Económico II, = Facultad de CC. Económicas y Empresariales, Universidad del País Vasco, Avda. Lehendakari Aguirre 83, 48015 Bilbao, Spain
Email:

Related research

Keywords: indirect inference; monetary policy rule; NKM model; real-time data; non-rational forecast error;

Find related papers by JEL classification:

This paper has been announced in the following NEP Reports:

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. Kizys, Renatas & Pierdzioch, Christian, 2010. "The business cycle and the equity risk premium in real time," International Review of Economics & Finance, Elsevier, Elsevier, vol. 19(4), pages 711-722, October.
  2. Rudebusch, Glenn D., 2002. "Term structure evidence on interest rate smoothing and monetary policy inertia," Journal of Monetary Economics, Elsevier, Elsevier, vol. 49(6), pages 1161-1187, September.
  3. Athanasios Orphanides, 1998. "Monetary policy rules based on real-time data," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 1998-03, Board of Governors of the Federal Reserve System (U.S.).
  4. Croushore, Dean & Stark, Tom, 2001. "A real-time data set for macroeconomists," Journal of Econometrics, Elsevier, Elsevier, vol. 105(1), pages 111-130, November.
  5. Christopher A. Sims & Tao Zha, 2004. "Were there regime switches in U.S. monetary policy?," Working Paper, Federal Reserve Bank of Atlanta 2004-14, Federal Reserve Bank of Atlanta.
  6. Kavajecz, Kenneth & Collins, Sean, 1995. "Rationality of Preliminary Money Stock Estimates," The Review of Economics and Statistics, MIT Press, vol. 77(1), pages 32-41, February.
  7. Maravall, Agustin & Pierce, David A, 1986. "The Transmission of Data Noise into Policy Noise in U.S. Monetary Control," Econometrica, Econometric Society, Econometric Society, vol. 54(4), pages 961-79, July.
  8. Duffie, Darrell & Singleton, Kenneth J, 1993. "Simulated Moments Estimation of Markov Models of Asset Prices," Econometrica, Econometric Society, Econometric Society, vol. 61(4), pages 929-52, July.
  9. Smets, Frank & Wouters, Raf, 2007. "Shocks and frictions in US business cycles: a Bayesian DSGE approach," Working Paper Series, European Central Bank 0722, European Central Bank.
  10. Clarida, Richard & Galí, Jordi & Gertler, Mark, 1998. "Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory," CEPR Discussion Papers, C.E.P.R. Discussion Papers 1908, C.E.P.R. Discussion Papers.
  11. Eric Ghysels & Norman R. Swanson & Myles Callan, 2002. "Monetary Policy Rules with Model and Data Uncertainty," Southern Economic Journal, Southern Economic Association, Southern Economic Association, vol. 69(2), pages 239-265, October.
  12. Dean Croushore & Charles L. Evans, 2003. "Data revisions and the identification of monetary policy shocks," Working Papers 03-1, Federal Reserve Bank of Philadelphia.
  13. Lubik, Thomas A. & Schorfheide, Frank, 2003. "Computing sunspot equilibria in linear rational expectations models," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 28(2), pages 273-285, November.
  14. Lee, Bong-Soo & Ingram, Beth Fisher, 1991. "Simulation estimation of time-series models," Journal of Econometrics, Elsevier, Elsevier, vol. 47(2-3), pages 197-205, February.
  15. Tom Stark and Dean Croushore, 2001. "Forecasting with a Real-Time Data Set for Macroeconomists," Computing in Economics and Finance 2001, Society for Computational Economics 258, Society for Computational Economics.
  16. Dean Croushore, 2011. "Frontiers of Real-Time Data Analysis," Journal of Economic Literature, American Economic Association, American Economic Association, vol. 49(1), pages 72-100, March.
  17. Kevin P. Evans & Alan E. H. Speight, 2006. "Real-Time Risk Pricing Over the Business Cycle: Some Evidence for the UK," Journal of Business Finance & Accounting, Wiley Blackwell, Wiley Blackwell, vol. 33(1-2), pages 263-283.
Full references (including those not matched with items on IDEAS)

Citations

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:ehu:dfaeii:8760. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Alcira Macías Redondo).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.