Monetary Policy and Data Uncertainty: A Case Study of Distribution, Hotels and Catering Growth

Lavan Mahadeva

No 19, Discussion Papers from Monetary Policy Committee Unit, Bank of England

Abstract: This paper is a case study of the real world monetary policy data uncertainty problem. The initial and the latest release for growth rates of the distribution, hotels and catering sector are combined with official data on household income and two surveys in a state-space model. Though important to the UK economy, the distribution, hotels and catering sector is apparently difficult to measure. One finding is that the initial release data is not important in predicting the latest release. It could be that the statistical office develop the initial release as a building block towards the final release rather than an estimate of it. Indeed, there is multicollinearity between the initial release and the retail sales survey, which would then contain the same early available information. A second finding is that the estimate of the later release is sensitive to the estimate of the average historical growth rate. This means that establishing priors for this parameter and testing for shift structural breaks should be very important.

Keywords: Data Uncertainty; Distribution Sector; Kalman Filter; Monetary Policy (search for similar items in EconPapers)
JEL-codes: E52 L81 (search for similar items in EconPapers)
Pages: 40 pages
Date: 2007-12
New Economics Papers: this item is included in nep-mac, nep-mon and nep-tur
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.bankofengland.co.uk/-/media/boe/files/ ... -and-catering-growth Full text (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:mpc:wpaper:0019

Access Statistics for this paper

More papers in Discussion Papers from Monetary Policy Committee Unit, Bank of England Contact information at EDIRC.
Bibliographic data for series maintained by Bank of England Website ().