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Data revisions in the estimation of DSGE models

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dc.contributor.authorCasares Polo, Miguel
dc.contributor.authorVázquez, Jesús
dc.contributor.departmentEconomíaes_ES
dc.contributor.departmentEkonomiaeu
dc.date.accessioned2016-05-10T07:40:32Z
dc.date.available2016-05-10T07:40:32Z
dc.date.issued2011
dc.description.abstractRevisions of US macroeconomic data are not white-noise. They are persistent, correlated with real-time data, and with high variability (around 80% of volatility observed in US real-time data). Their business cycle effects are examined in an estimated DSGE model that distinguishes real-time data from final data. Both the consumption habit formation and the price indexation to lagged inflation fall significantly in the estimation. The model also shows that revision shocks of both output and inflation are expansionary because they occur when real-time published data are too low and the Fed reacts by cutting interest rates. Consumption revisions, by contrast, are countercyclical as consumption habits mirror the observed reduction in real-time consumption. Finally, revisions of the three variables explain 9.3% of changes of output in its long-run variance decomposition.en
dc.description.sponsorshipThe authors would like to acknowledge financial support from the Spanish government (research projects ECO2008-02641 and ECO2010-16970 from Ministerio de Ciencia e Innovación, respectively).en
dc.format.extent54 p.
dc.format.mimetypeapplication/pdfen
dc.identifier.urihttps://academica-e.unavarra.es/handle/2454/20629
dc.language.isoengen
dc.relation.ispartofseriesDocumentos de Trabajo DE - ES Lan Gaiakes
dc.relation.ispartofseries1104en
dc.rightsCC Attribution-NonCommercial-NoDerivatives 4.0 International (CC BY-NC-ND 4.0)en
dc.rights.accessRightsAcceso abierto / Sarbide irekiaes
dc.rights.accessRightsinfo:eu-repo/semantics/openAccessen
dc.rights.urihttps://creativecommons.org/licenses/by-nc-nd/4.0/
dc.subjectData revisionsen
dc.subjectDSGE modelsen
dc.subjectBusiness cyclesen
dc.titleData revisions in the estimation of DSGE modelsen
dc.typeDocumento de trabajo / Lan gaiakes
dc.typeinfo:eu-repo/semantics/workingPaperen
dspace.entity.typePublication
relation.isAuthorOfPublication308e2f24-fee5-4ddb-be38-6e7a11cabf44
relation.isAuthorOfPublication.latestForDiscovery308e2f24-fee5-4ddb-be38-6e7a11cabf44

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