Measurement Errors and Monetary Policy: Then and Now

Pooyan Amir-Ahmadi, Christian Matthes and Mu-Chun Wang
Authors registered in the RePEc Author Service: Pooyan Amir Ahmadi

No 15-13, Working Paper from Federal Reserve Bank of Richmond

Abstract: Should policymakers and applied macroeconomists worry about the difference between real-time and final data? We tackle this question by using a VAR with time-varying parameters and stochastic volatility to show that the distinctionbetween 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 theimpact 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)
Pages: 36 pages
Date: 2015-11-05
New Economics Papers: this item is included in nep-cba, nep-ecm, nep-mac and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
https://www.richmondfed.org/-/media/richmondfedorg ... 2015/pdf/wp15-13.pdf Full text (application/pdf)

Related works:
Journal Article: Measurement errors and monetary policy: Then and now (2017)
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:fip:fedrwp:15-13

Ordering information: This working paper can be ordered from

Access Statistics for this paper

More papers in Working Paper from Federal Reserve Bank of Richmond Contact information at EDIRC.
Bibliographic data for series maintained by Christian Pascasio ().