Identifying the effects of structural shocks exposes problems with real-time data, researchers say
Differences between ways real-time and final data respond to shocks
Real-time estimated data and final data for monetary policy shocks have substantial and systematic differences, according to a working paper published by the Federal Reserve Bank of Richmond.
In Measurement errors and monetary policy: then and now, Pooyan Amir-Ahmadi, Christian Matthes and Ma-Chun Wang use a value-at-risk model with time-varying parameters and stochastic volatility on both real-time and final data for monetary shocks.
The "large majority" of papers on real-time data use models
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