Data Revisions and the Identification of Monetary Policy Shocks

35 Pages Posted: 11 Feb 2001

See all articles by Dean Croushore

Dean Croushore

University of Richmond - E. Claiborne Robins School of Business

Charles L. Evans

Federal Reserve Bank of Chicago - Research Department

Multiple version iconThere are 2 versions of this paper

Date Written: December 2000

Abstract

Monetary policy research using time series methods has been criticized for using more information that the Federal Reserve had available in setting policy. To quantify the role of this criticism, we propose a method to estimate a VAR with real-time data while accounting for the latent nature of many economic variables, such as output. Our estimated monetary policy shocks are closely correlated with a typically estimated measure. The impulse response functions are broadly similar across the methods. Our evidence suggest that the use of revised data in VAR analyses or monetary policy shocks may be a serious limitation.

Suggested Citation

Croushore, Dean and Evans, Charles L., Data Revisions and the Identification of Monetary Policy Shocks (December 2000). FRB of Chicago Working Paper No. 00-26. Available at SSRN: https://ssrn.com/abstract=257052 or http://dx.doi.org/10.2139/ssrn.257052

Dean Croushore (Contact Author)

University of Richmond - E. Claiborne Robins School of Business ( email )

1 Gateway Road
University of Richmond, VA 23173
United States
804-287-1961 (Phone)

HOME PAGE: http://oncampus.richmond.edu/~dcrousho

Charles L. Evans

Federal Reserve Bank of Chicago - Research Department ( email )

230 South LaSalle Street
P.O. Box 834
Chicago, IL 60604-1413
United States
312-322-5812 (Phone)
312-322-2357 (Fax)

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