Browsing by Subject "NKM model"

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    Extending the New Keynesian Monetary Model with Information Revision Processes: Real-time and Revised Data
    (2009-06-23T09:40:50Z) María-Dolores Pedrero, Ramón; Vázquez, Jesús; Londoño, Juan M.; Fundamentos del Análisis Económico
    This paper proposes an extended version of the New Keynesian Monetary (NKM) model which contemplates revision processes of output and inflation data in order to assess the influence of data revisions on the estimated monetary policy rule parameters. In line with the evidence provided by Aruoba (2008), by using the indirect inference principle, we observe that real-time data are not rational forecasts of revised data. This result along with the differences observed when estimating a model restricted to white noise revision processes provide evidence that policymakers decisions could be determined by the availability of data at the time of policy implementation.
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    On the informational role of term structure in the US monetary policy rule
    (2009-06-23T14:00:15Z) María-Dolores Pedrero, Ramón; Vázquez, Jesús; Londoño, Juan M.; Fundamentos del Análisis Económico
    The term spread may play a major role in a monetary policy rule whenever data revisions of output and inflation are not well behaved. In this paper we use a structural approach based on the indirect inference principle to estimate a standard version of the New Keynesian Monetary (NKM) model augmented with term structure using both revised and real-time data. The estimation results show that the term spread becomes a significant determinant of the U.S. estimated monetary policy rule when revised and real-time data of output and inflation are both considered.