Data Revisions and the Effects of Monetary Policy Volatility

Hayk Kamalyan

MPRA Paper from University Library of Munich, Germany

Abstract: This paper evaluates the effects of monetary policy volatility by fully accounting for real-time nature of policy setting. The empirical analysis shows that the impact of real-data volatility on output is about two times lower compared to that of final data volatility. Qualitatively, the effects of the two measures of volatility are similar. These findings suggest that the business cycle implications of policy-related volatility may possibly be overstated.

Keywords: Final Data; Real-Time Data; Monetary Policy Volatility (search for similar items in EconPapers)
JEL-codes: E32 E52 E58 (search for similar items in EconPapers)
Date: 2021-01-04
New Economics Papers: this item is included in nep-cba, nep-mac and nep-mon
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https://mpra.ub.uni-muenchen.de/107581/1/MPRA_paper_107581.pdf original version (application/pdf)
https://mpra.ub.uni-muenchen.de/108226/9/MPRA_paper_108226.pdf revised version (application/pdf)

Related works:
Journal Article: Data revisions and the effects of monetary policy volatility (2022)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:107581

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