Data revisions and the effects of monetary policy volatility

Hayk Kamalyan

Economics Letters, 2022, vol. 215, issue C

Abstract: I quantify the role of data revisions in estimating the impact of monetary policy-induced volatility on business cycle fluctuations. To that end, I construct real-time and final data-based measures of policy volatility. The results suggest that the effects of the two measures are qualitatively similar. However, the impact of real-data volatility on output is lower than that of final data volatility. These findings suggest that the business cycle implications of policy-induced volatility, found in the literature, are possibly 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: 2022
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Working Paper: Data Revisions and the Effects of Monetary Policy Volatility (2021)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:215:y:2022:i:c:s0165176522001379

DOI: 10.1016/j.econlet.2022.110520

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