Publication details

Real-time versus revised Czech data: a DSGE analysis

Authors

ČAPEK Jan

Year of publication 2013
Type Article in Proceedings
Conference Proceedings of 31th International Conference Mathematical Methods in Economics
MU Faculty or unit

Faculty of Economics and Administration

Citation
Field Economy
Keywords real-time data; data revision; recursive estimate; DSGE model
Attached files
Description The paper investigates the effects of using real-time data instead of revised final data within Dynamic Stochastic General Equilibrium (DSGE) framework. Theoretically, using most recent, updated historical data for ex-post analyses for a historical time-sample may be misleading, because revised data were not available at that time. The contribution uses a small-scale monetary macroeconomic DSGE model to analyze the importance of real-time data compared to most-recent revised data with a focus on the differences in decision-making of the monetary authority. The analysis proceeds from Bayesian estimation of model parameters in a model with real-time data and in a model with the most recent revised data.

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