Please use this identifier to cite or link to this item: http://hdl.handle.net/10201/4695

Title: Extending the New Keynesian Monetary Model with Information Revision Processes: Real-time and Revised Data
Issue Date: 23-Jun-2009
Date of creation: Jun-2009
Related subjects: CDU::3 - Ciencias sociales::33 - Economía::338 - Situación económica. Política económica. Gestión, control y planificación de la economía. Producción. Servicios. Turismo. Precios
Keywords: NKM model
Monetary policy rule
Indirect inference
Real-time data
Rational forecast errors
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.
Primary author: María-Dolores Pedrero, Ramón
Vázquez, Jesús
Londoño, Juan M.
Faculty / Departments / Services: Departamentos y Servicios::Departamentos de la UMU::Fundamentos del Análisis Económico
Collection: WPUMUFAE
2009.04
Published in: Proyecto de investigación:
URI: http://hdl.handle.net/10201/4695
Document type: info:eu-repo/semantics/article
Number of pages / Extensions: 22
Rights: info:eu-repo/semantics/openAccess
Appears in Collections:Informes o documentos de trabajo

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