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Carlo Altavilla, U. Partenope Print
Friday, 14 October 2011, 12:15 - 13:15
Monetary policy analysis and data uncertainty. Vintage combination from a real-time dataset

Carlo Altavilla, Università Partenope di Napoli

Abstract: This paper provides a general strategy for estimating economic models 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 data releases. The implications of our estimation approach are tested in a standard model of output and inflation used to derive a Taylor-type rule for monetary policy. We show that our method provides smoother and less vintage-dependent estimates than the traditional single-vintage approach. The resulting taylor-rule coefficients are also more in line with the historical behaviour of central banks which is usually less aggressive than the one implied by optimal rules estimated on a single vintage.

Location: R42.2.113
Contact: Claude Adan, This e-mail address is being protected from spam bots, you need JavaScript enabled to view it