GDP data revisions and forward-looking monetary policy in Switzerland

Abstract

Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Terms of use: Documents in AbstractThis paper analyzes forward-looking rules for Swiss monetary policy in a small structural VAR model consisting of four variables taking into account data revisions for GDP. First, the paper develops an analytical method to analyze the effect of data revision errors in GDP on the ex ante or conditional inflation-output-growth volatility trade-off and applies it to Swiss data. Second, the effects of different targets in a forward-looking monetary policy on ex post or unconditional volatility of inflation and output growth is explored by a simulation exercise. In general, the results obtained suggest that focusing monetary policy on GDP growth instead on inflation may lead to an inefficient policy with both increased medium term inflation and GDP growth volatility in the presence of GDP data revisions.

Modeling Monetary Transmission in Switzerland with a Structural Cointegrated VAR Model

“…Again, this pattern is also found by Kugler and Rich (2002) and Kugler, Jordan, Lenz and Savioz (2005) in small SVAR systems with different identification restrictions. Like inflation output reaches its minimum around ten quarters after the shock.…”

“…They use long and short-run restrictions and find plausible reactions to a monetary policy shock. The paper by Kugler, Jordan, Lenz and Savioz (2005) uses long-run identifying restrictions only, but is able to generate similar impulse responses to a monetary policy shock. Natal (2002;2004) extends the analysis by considering foreign variables.…”

Dynamic Effects of Monetary Policy Shocks in Malawi

“…The price level, however, responds to monetary tightening by increasing, although insignificantly, which is maintained even after 5 years. This finding, referred to as the “price puzzle”, is common in the literature (Sims, 1992; Clarida and Gertler, 1996; Bernanke and Mihov, 1997; Mihira and Sugihara, 2000; Piffanelli, 2001; Disyatat and Vongsinsirikul, 2003; Kugler et al ., 2004; Weitong, 2007).…”

“…Kim and Roubini (2000) and Becklemans (2005) argue that this is usually the case in cointegrated VARs with the implication that the resulting inferences are often incorrect as well. In an attempt to circumvent the problem, some studies opt for a simple differences specification (see, for example, Kasa and Popper, 1997; Mihira and Sugihara, 2000; Boivin and Giannoni, 2002; Karame and Olmedo, 2002; Kugler et al ., 2004; Weitong, 2007). The approach, however, is not persuasive as it yields inconsistent estimates if some variables are cointegrated (Bernanke and Mihov, 1997).…”

Nowcasting Czech GDP in real time

“…It is well known, however, that the revisions to macroeconomic data are frequent and large (Faust et al, 2005;Garratt and Vahey, 2006;Aruoba, 2008;Croushore, 2011;Fernandez et al, 2011). Therefore, working with the last available data may provide starkly different results than those obtained using real-time data (as documented by many studies: Robertson and Tallman, 1998;Faust et al, 2003;Orphanides, 2001;Kugler et al, 2005;Molodtsova et al, 2008). In particular, in forecasting applications, neglecting data revisions might substantially understate forecast errors (Stark and Croushore, 2002).…”