Data revisions and the identification of monetary policy shocks

• 成果类型: Article
• 署名作者: Croushore, Dean; Evans, Charles L.
• 署名单位: University of Richmond; Federal Reserve System - USA; Federal Reserve Bank - Chicago
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2006.02.001
• 发表日期: 2006
• 页码: 1135-1160
• 关键词: real-time data; monetary policy shocks; vars; data revisions; identification

摘要

Monetary policy research using time-series methods has been criticized for using more information than the Federal Reserve had available. To quantify the role of this criticism, we estimate VARs with real-time data while accounting for the latent nature of many economic variables, such as output. Our estimated monetary policy shocks are closely correlated with typically estimated measures. The impulse response functions are broadly similar across estimation methods. Our evidence suggests that the use of revised data in VAR analyses of monetary policy shocks may not be a serious limitation for recursively identified systems, but presents more challenges for simultaneous systems. (c) 2006 Elsevier B.V. All rights reserved.