Historical Analysis of Monetary Policy Reaction Functions: Do Real-Time Data Matter?
| Autoři | |
|---|---|
| Rok publikování | 2014 |
| Druh | Článek v odborném periodiku |
| Časopis / Zdroj | Finance a úvěr |
| Fakulta / Pracoviště MU | |
| Citace | |
| www | http://journal.fsv.cuni.cz/mag/article/show/id/1311 |
| Obor | Ekonomie |
| Klíčová slova | real-time data;revision;DSGE model;Bayesian estimation;recursive estimation |
| Přiložené soubory | |
| Popis | 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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