Measurement errors and monetary policy: Then and now
Christian Matthes and
Authors registered in the RePEc Author Service: Pooyan Amir Ahmadi ()
Journal of Economic Dynamics and Control, 2017, vol. 79, issue C, 66-78
Should policymakers and applied macroeconomists worry about the difference between real-time and final data? We tackle this question by using a Bayesian VAR with time-varying parameters and stochastic volatility to show that the distinction between real-time data and final data matters for the impact of monetary policy shocks: The impact on final data is substantially and systematically different (in particular, larger in magnitude for different measures of real activity) from the impact on real-time data. These differences have persisted over the last 40 years and should be taken into account when conducting or studying monetary policy.
Keywords: Real-time data; Time-varying parameters; Stochastic volatility; Impulse responses (search for similar items in EconPapers)
JEL-codes: C22 E31 E58 (search for similar items in EconPapers)
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Working Paper: Measurement Errors and Monetary Policy: Then and Now (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:dyncon:v:79:y:2017:i:c:p:66-78
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