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Data Revisions and the Identification of Monetary Policy Shocks

Listed author(s):
  • Dean Croushore

    (Federal Reserve Bank of Philadelphia)

  • Charles L. Evans

    (Federal Reserve Bank of Chicago)

Monetary policy research using time series methods has been criticized for using more information than the Federal Reserve had available in setting policy. To quantify the role of this criticism, we propose a method to estimate a VAR with real-time data while accounting for the latent nature of many economic variables, such as output. Our estimated monetary policy shocks are closely correlated with a typically estimated measure. The impulse response functions are broadly similar across the methods. Our evidence suggests that the use of revised data in VAR analyses of monetary policy shocks may not be a serious limitation.

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Paper provided by Econometric Society in its series Econometric Society World Congress 2000 Contributed Papers with number 0842.

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Date of creation: 01 Aug 2000
Handle: RePEc:ecm:wc2000:0842
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