Historical Analysis of Monetary Policy Reaction Functions: Do Real-Time Data Matter?

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F14%3A00077679" target="_blank" >RIV/00216224:14560/14:00077679 - isvavai.cz</a>
Result on the web
<a href="http://journal.fsv.cuni.cz/mag/article/show/id/1311" target="_blank" >http://journal.fsv.cuni.cz/mag/article/show/id/1311</a>
DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Historical Analysis of Monetary Policy Reaction Functions: Do Real-Time Data Matter?
Original language 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.
Czech name
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Czech description
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Type
J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
CEP classification
AH - Economics
OECD FORD branch
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Publication year
2014
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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