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

Journal Title: Finance a uver - Year 2014, Vol 64, Issue 6

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.

Authors and Affiliations

Jan Capek

Keywords

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  • EP ID EP297483
  • DOI -
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How To Cite

Jan Capek (2014). Historical Analysis of Monetary Policy Reaction Functions: Do Real-Time Data Matter?. Finance a uver, 64(6), 457-475. https://europub.co.uk/articles/-A-297483