Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/244358 
Authors: 
Year of Publication: 
2021
Series/Report no.: 
MAGKS Joint Discussion Paper Series in Economics No. 29-2021
Publisher: 
Philipps-University Marburg, School of Business and Economics, Marburg
Abstract: 
This article develops the first granular database on daily real-time inflation rates and output. Four different European forecast sources and three computation methods are applied to calculate those daily data. These are used in two types of monetary policy rules, for three different interest rates as the dependent variable. The results indicate that the main source of differences in the forecast horizons and response coefficients is not the data sources or the computation method but, rather, the monetary policy rule applied and the interest rate used. That is, the results differ if unconventional monetary policies are considered. Moreover, the results tend to be time-varying; that is, sudden shifts in the optimal forecast horizon can be identified, leading to substantially altered policy rules.
Subjects: 
Monetary policy rules
ECB
medium-term orientation
JEL: 
E52
E58
Document Type: 
Working Paper

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