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A Study of the Romer and Romer Monetary Policy Shocks Using Revised Data

Author

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  • Andersson, Fredrik N. G.

    (Department of Economics, Lund University)

  • Kilman, Josefin

    (Department of Economics, Lund University)

Abstract

Romer and Romer (2004) propose a simple method to estimate monetary policy shocks using forecasts and real-time data. However, such data is not always (publicly) available, especially in a historical context. We explore the consequences of using revised data instead of the original forecast and real-time data when estimating policy shocks using the Romer and Romer framework. To this end, we estimate policy shocks for the same period as Romer and Romer. We find that using revised data has little impact on actual shock estimates, and the estimated effects of monetary policy shocks are similar.

Suggested Citation

  • Andersson, Fredrik N. G. & Kilman, Josefin, 2021. "A Study of the Romer and Romer Monetary Policy Shocks Using Revised Data," Working Papers 2021:19, Lund University, Department of Economics.
  • Handle: RePEc:hhs:lunewp:2021_019
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    References listed on IDEAS

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    More about this item

    Keywords

    Monetary policy shocks; prices; GDP;
    All these keywords.

    JEL classification:

    • E20 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - General (includes Measurement and Data)
    • E30 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - General (includes Measurement and Data)
    • E40 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - General
    • E50 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - General
    • E60 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - General

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