Extending the New Keynesian Monetary Model with Information Revision Processes: Real-time and Revised Data
AbstractThis 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.
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Bibliographic InfoPaper provided by DIGITUM. Universidad de Murcia in its series UMUFAE Economics Working Papers with number 4695.
Date of creation: Jun 2009
Date of revision:
NKM model; Monetary Policy Rule; Indirect Inference; Real-time Data; Rational Forecast Errors;
Find related papers by JEL classification:
- D12 - Microeconomics - - Household Behavior - - - Consumer Economics: Empirical Analysis
- R23 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Household Analysis - - - Regional Migration; Regional Labor Markets; Population
This paper has been announced in the following NEP Reports:
- NEP-ALL-2009-09-19 (All new papers)
- NEP-CBA-2009-09-19 (Central Banking)
- NEP-MAC-2009-09-19 (Macroeconomics)
- NEP-MON-2009-09-19 (Monetary Economics)
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