TITLE

The Effect of Data Revisions on the Basic New Keynesian Model

AUTHOR(S)
Vázquez, Jesús; María-Dolores, Ramón; Londoño, Juan M.
PUB. DATE
October 2012
SOURCE
International Review of Economics & Finance;Oct2012, Vol. 24, p235
SOURCE TYPE
Academic Journal
DOC. TYPE
Article
ABSTRACT
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.
ACCESSION #
76917439

 

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