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

Extending the New Keynesian Monetary Model with Information Revision Processes: Real-time and Revised Data

Contents:

Author Info

  • María-Dolores, Ramon
  • Vazquez, Jesus
  • Londoño, Juan M.

    (Departamentos y Servicios::Departamentos de la UMU::Fundamentos del Análisis Económico)

Abstract

This paper proposes an extended version of the New Keynesian Monetary (NKM) model which contemplates revision processes of output and inflation data in order to assess the influence of data revisions on the estimated monetary policy rule parameters. In line with the evidence provided by Aruoba (2008), by using the indirect inference principle, we observe that real-time data are not rational forecasts of revised data. This result along with the differences observed when estimating a model restricted to white noise revision processes provide evidence that policymakers decisions could be determined by the availability of data at the time of policy implementation.

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: http://digitum.um.es/xmlui/bitstream/10201/4695/1/WPUMUFAE.2009.04.pdf?sequence=1
Download Restriction: no

Bibliographic Info

Paper provided by DIGITUM. Universidad de Murcia in its series UMUFAE Economics Working Papers with number 4695.

as in new window
Length: 22
Date of creation: Jun 2009
Date of revision:
Handle: RePEc:mur:wpaper:4695

Contact details of provider:
Web page: http://www.um.es/fee/
More information through EDIRC

Related research

Keywords: NKM model; Monetary Policy Rule; Indirect Inference; Real-time Data; Rational Forecast Errors;

Find related papers by JEL classification:

This paper has been announced in the following NEP Reports:

References

No references listed on IDEAS
You can help add them by filling out this form.

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:mur:wpaper:4695. 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: (Enrique Mingorance Cano).

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.