Data Revisions and the Identification of Monetary Policy Shocks

33 Pages Posted: 23 Jun 2003

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: January 2003

Abstract

Monetary policy research using time series methods has been criticized for using more information than 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 suggests that the use of revised data in VAR analyses of monetary policy shocks may not be a serious limitation.

Keywords: monetary policy shocks, real-time data

JEL Classification: E52, C32

Suggested Citation

Croushore, Dean and Evans, Charles L., Data Revisions and the Identification of Monetary Policy Shocks (January 2003). FRB of Philadelphia Working Paper No. 03-1. Available at SSRN: https://ssrn.com/abstract=394308 or http://dx.doi.org/10.2139/ssrn.394308

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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