Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5098022 | Journal of Economic Dynamics and Control | 2017 | 27 Pages |
Abstract
Should policymakers and applied macroeconomists worry about the difference between real-time and final data? We tackle this question by using a Bayesian VAR with time-varying parameters and stochastic volatility to show that the distinction between 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 the impact 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.
Related Topics
Physical Sciences and Engineering
Mathematics
Control and Optimization
Authors
Pooyan Amir-Ahmadi, Christian Matthes, Mu-Chun Wang,