Historical Analysis of Monetary Policy Reaction Functions: Do Real-Time Data Matter?

Jan Čapek

Czech Journal of Economics and Finance (Finance a uver), 2014, vol. 64, issue 6, 457-475

Abstract: 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.

Keywords: real-time data; revision; DSGE model; Bayesian estimation; recursive estimation (search for similar items in EconPapers)
JEL-codes: C11 C82 E58 (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:fau:fauart:v:64:y:2014:i:6:p:457-475

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