Extending the New Keynesian Monetary Model with Information Revision Processes: Real-time and Revised Data

Ramón Maria-Dolores, Jesús Vázquez and Juan M. Londono

UMUFAE Economics Working Papers from DIGITUM. Universidad de Murcia

Abstract: This paper proposes an extended version of the New Keynesian Monetary (NKM) model which contemplates revision processes of output and inflation data in order to assess the influence of data revisions on the estimated monetary policy rule parameters. In line with the evidence provided by Aruoba (2008), by using the indirect inference principle, we observe that real-time data are not rational forecasts of revised data. This result along with the differences observed when estimating a model restricted to white noise revision processes provide evidence that policymakers decisions could be determined by the availability of data at the time of policy implementation.

Keywords: NKM model; Monetary Policy Rule; Indirect Inference; Real-time Data; Rational Forecast Errors (search for similar items in EconPapers)
JEL-codes: D12 R23 (search for similar items in EconPapers)
Pages: 22
Date: 2009-06
New Economics Papers: this item is included in nep-cba, nep-mac and nep-mon
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Persistent link: https://EconPapers.repec.org/RePEc:mur:wpaper:4695

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