IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login to save this paper or follow this series

Extending the New Keynesian Monetary Model with Information Revision Processes: Real-time and Revised Data

  • María-Dolores, Ramon
  • Vazquez, Jesus
  • Londoño, Juan M.

    (Departamentos y Servicios::Departamentos de la UMU::Fundamentos del Análisis Económico)

This 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.

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://digitum.um.es/xmlui/bitstream/10201/4695/1/WPUMUFAE.2009.04.pdf?sequence=1
Download Restriction: no

Paper provided by DIGITUM. Universidad de Murcia in its series UMUFAE Economics Working Papers with number 4695.

as
in new window

Length: 22
Date of creation: Jun 2009
Date of revision:
Handle: RePEc:mur:wpaper:4695
Contact details of provider: Web page: http://www.um.es/fee/

More information through EDIRC

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

as in new window
  1. Eric Ghysels & Norman R. Swanson & Myles Callan, 2002. "Monetary Policy Rules with Model and Data Uncertainty," Southern Economic Journal, Southern Economic Association, vol. 69(2), pages 239-265, October.
  2. Clarida, Richard & Galí, Jordi & Gertler, Mark, 1998. "Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory," CEPR Discussion Papers 1908, C.E.P.R. Discussion Papers.
  3. Darrell Duffie & Kenneth J. Singleton, 1990. "Simulated Moments Estimation of Markov Models of Asset Prices," NBER Technical Working Papers 0087, National Bureau of Economic Research, Inc.
  4. Stark, Tom & Croushore, Dean, 2002. "Forecasting with a real-time data set for macroeconomists," Journal of Macroeconomics, Elsevier, vol. 24(4), pages 507-531, December.
  5. Dean Croushore & Tom Stark, 1999. "A real-time data set for macroeconomists," Working Papers 99-4, Federal Reserve Bank of Philadelphia.
  6. Aruoba, Boragan, 2005. "Data Revisions Are Not Well-Behaved," CEPR Discussion Papers 5271, C.E.P.R. Discussion Papers.
  7. English William B. & Nelson William R. & Sack Brian P., 2003. "Interpreting the Significance of the Lagged Interest Rate in Estimated Monetary Policy Rules," The B.E. Journal of Macroeconomics, De Gruyter, vol. 3(1), pages 1-18, April.
Full references (including those not matched with items on IDEAS)

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

When requesting a correction, please mention this item's handle: RePEc:mur:wpaper:4695. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Enrique Mingorance Cano)

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.