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Monetary policy analysis and data revisions – vintage combination from a real-time dataset

Author

Listed:
  • Matteo Ciccarelli

Abstract

Data revision and the uncertainty that it creates are of importance for forecasting and policy analysis. Adjusting for data revisions requires a forecaster or policy-maker to explicitly model the data measurement process, which is diffi cult. This short article illustrates an estimation methodology which is robust to data uncertainty due to the revision process, regardless of its exact nature and without the need to model it. JEL Classification: E5

Suggested Citation

  • Matteo Ciccarelli, 2012. "Monetary policy analysis and data revisions – vintage combination from a real-time dataset," Research Bulletin, European Central Bank, vol. 15, pages 7-11.
    • Handle: RePEc:ecb:ecbrbu:2012:0015:2
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    File URL: http://www.ecb.europa.eu/pub/pdf/other/researchbulletin15en.pdf
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    References listed on IDEAS

    as
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    3. Adam, Klaus & Billi, Roberto M., 2006. "Optimal Monetary Policy under Commitment with a Zero Bound on Nominal Interest Rates," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 38(7), pages 1877-1905, October.
    4. Gauti B. Eggertsson & Michael Woodford, 2003. "The Zero Bound on Interest Rates and Optimal Monetary Policy," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 34(1), pages 139-235.
    Full references (including those not matched with items on IDEAS)

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    JEL classification:

    • E5 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit

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