Detailed Information on Publication Record
2014
Historical Analysis of Monetary Policy Reaction Functions: Do Real-Time Data Matter?
ČAPEK, JanBasic information
Original name
Historical Analysis of Monetary Policy Reaction Functions: Do Real-Time Data Matter?
Authors
ČAPEK, Jan (203 Czech Republic, guarantor, belonging to the institution)
Edition
Finance a úvěr, Datakonekt, 2014, 0015-1920
Other information
Language
English
Type of outcome
Článek v odborném periodiku
Field of Study
50200 5.2 Economics and Business
Country of publisher
Czech Republic
Confidentiality degree
není předmětem státního či obchodního tajemství
References:
Impact factor
Impact factor: 0.420
RIV identification code
RIV/00216224:14560/14:00077679
Organization unit
Faculty of Economics and Administration
UT WoS
000346692600002
Keywords in English
real-time data;revision;DSGE model;Bayesian estimation;recursive estimation
Tags
International impact, Reviewed
Změněno: 16/2/2015 11:08, doc. Ing. Jan Čapek, Ph.D.
Abstract
V originále
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.
Links
| MUNI/A/0775/2013, interní kód MU |
|