Historical Analysis of Monetary Policy Reaction Functions: Do Real-Time Data Matter?
| Authors | |
|---|---|
| Year of publication | 2014 |
| Type | Article in Periodical |
| Magazine / Source | Finance a úvěr |
| MU Faculty or unit | |
| Citation | |
| Web | http://journal.fsv.cuni.cz/mag/article/show/id/1311 |
| Field | Economy |
| Keywords | real-time data;revision;DSGE model;Bayesian estimation;recursive estimation |
| Attached files | |
| Description | This paper investigates the differences between parameter estimates of monetary policy reaction functions using real-time data and those using revised data. The model is a New Keynesian DSGE model of the Czech, Hungarian and Polish small open economies in interaction with the euro area. Unlike the related literature, this paper uses separate vintages of real-time data for all successive estimations. The paper reports several statistically significant differences between parameter estimates of monetary policy reaction functions based on real-time data and those based on revised data. The parameter whose estimate is the most affected by the usage of real-time data is preference for output growth. This result is common across the countries in the study. The results suggest that real-time data matter when conducting a historical analysis of monetary policy preferences. |
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