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ifo Institut – Leibniz-Institut für Wirtschaftsforschung an der Universität München >
CESifo Working Papers, CESifo Group Munich >
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http://hdl.handle.net/10419/46270
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| Title: | | Monetary policy analysis in real-time: Vintage combination from a real-time dataset  |
| Authors: | | Altavilla, Carlo Ciccarelli, Matteo |
| Issue Date: | | 2011 |
| Series/Report no.: | | CESifo working paper: Monetary Policy and International Finance 3372 |
| Abstract: | | 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. |
| Subjects: | | monetary policy Taylor rule real-time data great moderation forecasting |
| JEL: | | E52 E58 C32 C53 C82 |
| Document Type: | | Working Paper |
| Appears in Collections: | | CESifo Working Papers, CESifo Group Munich
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