dc.contributor.author | Casares, Miguel | |
dc.contributor.author | Vázquez Pérez, Jesús | |
dc.date.accessioned | 2012-10-08T16:54:00Z | |
dc.date.available | 2012-10-08T16:54:00Z | |
dc.date.issued | 2012 | |
dc.identifier.issn | 1988-088X | |
dc.identifier.uri | http://hdl.handle.net/10810/8759 | |
dc.description.abstract | Revisions 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 extended with both real-time and final data. After implementing a Bayesian estimation approach, the role of both habit formation and price indexation fall significantly in the extended model. The results show how 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. In turn, revisions of the three variables explain 9.3% of changes of output in its long-run variance decomposition. | es |
dc.description.sponsorship | The
authors would like to acknowledge financial support from the Spanish government (research projects ECO2011-24304
and ECO2010-16970 from Ministerio de Ciencia e Innovación). | es |
dc.language.iso | eng | es |
dc.publisher | University of the Basque Country, Department of Foundations of Economic Analysis II | es |
dc.relation | info:eu-repo/grantAgreement/MINECO/ECO2011-24304 | |
dc.relation | info:eu-repo/grantAgreement/MINECO/ECO2010-16970 | |
dc.relation.ispartofseries | DFAEII 2012.06 | |
dc.rights | info:eu-repo/semantics/openAccess | es |
dc.subject | data revisions | es |
dc.subject | DSGE models | es |
dc.subject | business cycles | es |
dc.title | Data Revisions in the Estimation of DSGE Models | es |
dc.type | info:eu-repo/semantics/workingPaper | es |
dc.subject.jel | C32 | |
dc.subject.jel | E30 | |
dc.identifier.repec | RePEc:ehu:dfaeii:8759 | es |
dc.departamentoes | Fundamentos del análisis económico II | es_ES |
dc.departamentoeu | Ekonomia analisiaren oinarriak II | es_ES |
dc.subject.categoria | ECONOMICS, ECONOMETRICS AND FINANCE | |
dc.subject.categoria | MACROECONOMICS AND MONETARY ECONOMICS | |
dc.subject.categoria | MATHEMATICAL AND QUANTITATIVE METHODS | |