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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: stochastic volatility; impulse responses; time-varying parameters; real-time data (search for similar items in EconPapers)
Pages: 36 pages
Date: 2015-11-05, Revised 2015-11-05
New Economics Papers: this item is included in nep-cba, nep-ecm, nep-mac and nep-mon
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Journal Article: Measurement errors and monetary policy: Then and now (2017) Downloads
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