The Effect of Data Revisions on the Basic New Keynesian Model

Vázquez, Jesús; María-Dolores, Ramón; Londoño, Juan M.
October 2012
International Review of Economics & Finance;Oct2012, Vol. 24, p235
Academic Journal
Abstract: This paper proposes an extended version of the basic New Keynesian monetary (NKM) model which contemplates revision processes of output and inflation data in order to assess the importance of data revisions on the estimated monetary policy rule parameters and the transmission of policy shocks. Our empirical evidence based on a structural econometric approach suggests that although the initial announcements of output and inflation are not rational forecasts of revised output and inflation data, ignoring the presence of non well-behaved revision processes may not be a serious drawback in the analysis of monetary policy in this framework. However, the transmission of inflation-push shocks is largely affected by considering data revisions. The latter being especially true when the nominal stickiness parameter is estimated taking into account data revision processes.


Related Articles

  • How Well Does the New Keynesian Sticky-Price Model Fit the Data? Roberts, John M. // Working Papers -- U.S. Federal Reserve Board's Finance & Economi;2001, p1 

    This paper examines conflicting results on the empirical performance of the New Keynesian sticky-price model used for monetary policy analysis. The author attempts to reconcile these conflicting claims by examining a variety of specifications of the model within the context of a single...

  • The Costs of Inflation in New Keynesian Models. Ambler, Steve // Bank of Canada Review;Winter2007, p5 

    Academic economists and central banks are increasingly relying on New Keynesian models for forecasting and monetary policy analysis. Central banks are using these models to refine inflation targets and to develop strategies for reducing inflation variability. As a result, it is important to...

  • Implementing the zero lower bound in an estimated regime-switching DSGE model. BINNING, ANDREW; MAIH, JUNIOR // Norges Bank: Working Papers;2/12/2016, preceding p2 

    The Zero Lower Bound (ZLB) on policy rates is one of the key monetary policy issues du jour. In this paper we investigate the problem of modelling and estimating the ZLB in a simple New Keynesian model with regime switches. The key features of the model include switches in the time preference...

  • Macroeconomics and monetary policy: competing theoretical frameworks. Palley, Thomas I. // Journal of Post Keynesian Economics;Fall2007, Vol. 30 Issue 1, p61 

    There is widespread agreement that monetary policy matters, but there is disagreement about how policy should be conducted. Behind this disagreement lies differences in theoretical understandings. The paper contrasts the new classical, neo-Keynesian, and Post Keynesian frameworks, thereby...

  • MONETARY AND FISCAL POLICIES INTERACTIONS IN AN ESTIMATED NEW KEYNESIAN MODEL FOR ROMANIA. Caraiani, Petre // Economic Computation & Economic Cybernetics Studies & Research;Jan2012, Vol. 46 Issue 1, p145 

    The article examines the interactions between the monetary and fiscal policies in Romania using a New Keynesian (NK) model. It states that the model is demonstrated in the log-linear form and is estimated on quarterly economic data including gross domestic product (GDP), inflation and interest...

  • Monetary Policy in Estimated Models of Small Open and Closed Economies. Dib, Ali // Open Economies Review;Nov2011, Vol. 22 Issue 5, p769 

    This paper compares monetary policy effects in New-Keynesian models of small open and closed economies fit to Canada. A monetary policy rule allows the central bank to systematically manage the nominal interest rate in response to inflation, output, and money growth variations. The structural...

  • O REGIME DE METAS PARA INFLAÇÃO NO BRASIL E A ESCOLA NOVO-CLÁSSICA: UMA CRÍTICA PÓS- -KEYNESIANA. Calil de Souza, Raphael; Caio Racy, José // Revista de Economia Mackenzie;Jan2013, Vol. 11 Issue 1, p111 

    This paper aims to identify and describe the new-classics, which area considered to be the creators of the inflation targeting model and to criticize its adoption in Brazil through a post keynesian augmentation. The analysis will be specific for the Brazilian Model starting at its implementation...

  • Nontraded Goods and Deflationary Bias in a New Keynesian Open Economy Model. Tao Gu // International Journal of Economics & Finance;Jan2014, Vol. 6 Issue 1, p138 

    This paper develops a New Keynesian open economy model that embeds nontraded goods and produces multiple discretionary equilibria arising in the form of expectations traps. In contrast to the results in previous studies, we find the presence of nontraded goods narrows the region for a...

  • A Small-Sample Study of the New-Keynesian Macro Model. CHO, SEONGHOON; MORENO, ANTONIO // Journal of Money, Credit & Banking (Ohio State University Press);Sep2006, Vol. 38 Issue 6, p1461 

    This paper presents a small-sample study of the three-equation-three variable New-Keynesian macro model. While the point estimates imply that the Fed has been stabilizing inflation fluctuations since 1980, our econometric analysis suggests considerable uncertainty regarding the stance of the Fed...


Read the Article


Sorry, but this item is not currently available from your library.

Try another library?
Sign out of this library

Other Topics