Monetary policy analysis in real-time: Vintage combination from a real-time dataset

Arbeitspapier

This paper provides a general strategy for analyzing monetary policy in real time which accounts for data uncertainty without explicitly modelling the revision process. The strategy makes use of all the data available from a real-time data matrix and averages model estimates across all data releases. Using standard forecasting and policy models to analyze monetary authorities' reaction functions, we show that this simple method can improve forecasting performance and provide reliable estimates of the policy model coefficients associated with small central bank losses, in particular during periods of high macroeconomic uncertainty.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: CESifo Working Paper ; No. 3372

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Monetary Policy ; Central Banks and Their Policies ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models ; Forecasting Models; Simulation Methods ; Methodology for Collecting, Estimating, and Organizing Macroeconomic Data; Data Access
• Thema: monetary policy ; Taylor rule ; real-time data ; great moderation ; forecasting ; Geldpolitik ; Taylor-Regel ; Reaktionsfunktion ; Konjunkturprognose ; Prognoseverfahren ; Schätzung ; USA

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Altavilla, Carlo ; Ciccarelli, Matteo
• Ereignis: Veröffentlichung
• (wer): Center for Economic Studies and ifo Institute (CESifo)
• (wo): Munich
• (wann): 2011

Weitere Informationen

• Handle: http://hdl.handle.net/10419/46270
• Letzte Aktualisierung: 10.03.2025, 11:43 MEZ