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@article{1212339,
author = {Čapek, Jan},
article_number = {6},
keywords = {real-time data;revision;DSGE model;Bayesian estimation;recursive estimation},
language = {eng},
issn = {0015-1920},
journal = {Finance a úvěr},
title = {Historical Analysis of Monetary Policy Reaction Functions: Do Real-Time Data Matter?},
url = {http://journal.fsv.cuni.cz/mag/article/show/id/1311},
volume = {64},
year = {2014}
}
TY - JOUR
ID - 1212339
AU - Čapek, Jan
PY - 2014
TI - Historical Analysis of Monetary Policy Reaction Functions: Do Real-Time Data Matter?
JF - Finance a úvěr
VL - 64
IS - 6
SP - 457-475
EP - 457-475
PB - Datakonekt
SN - 00151920
KW - real-time data;revision;DSGE model;Bayesian estimation;recursive estimation
UR - http://journal.fsv.cuni.cz/mag/article/show/id/1311
L2 - http://journal.fsv.cuni.cz/mag/article/show/id/1311
N2 - 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.
ER -
ČAPEK, Jan. Historical Analysis of Monetary Policy Reaction Functions: Do Real-Time Data Matter? \textit{Finance a úvěr}. Datakonekt, 2014, roč.~64, č.~6, s.~457-475. ISSN~0015-1920.
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