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Monetary Policy Analysis in Real-Time. Vintage Combination from a Real-Time Dataset

  • Carlo Altavilla
  • Matteo Ciccarelli

This paper provides a general strategy for analyzing monetary policy in real time which accounts for data uncertainty without explicitly modelling the revision process. The strategy makes use of all the data available from a real-time data matrix and averages model estimates across all data releases. Using standard forecasting and policy models to analyze monetary authorities’ reaction functions, we show that this simple method can improve forecasting performance and provide reliable estimates of the policy model coefficients associated with small central bank losses, in particular during periods of high macroeconomic uncertainty.

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File URL: http://www.cesifo-group.de/portal/page/portal/DocBase_Content/WP/WP-CESifo_Working_Papers/wp-cesifo-2011/wp-cesifo-2011-03/cesifo1_wp3372.pdf
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Paper provided by CESifo Group Munich in its series CESifo Working Paper Series with number 3372.

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Date of creation: 2011
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Handle: RePEc:ces:ceswps:_3372
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  24. Dean Croushore & Tom Stark, 2003. "A Real-Time Data Set for Macroeconomists: Does the Data Vintage Matter?," The Review of Economics and Statistics, MIT Press, vol. 85(3), pages 605-617, August.
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  35. Aoki, Kosuke, 2003. "On the optimal monetary policy response to noisy indicators," Journal of Monetary Economics, Elsevier, vol. 50(3), pages 501-523, April.
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