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A Study of the Romer and Romer Monetary Policy Shocks Using Revised Data

Andersson, Fredrik N G LU and Kilman, Josefin LU (2021) In Working Papers
Abstract
Romer and Romer (2004) propose a simple method to estimate monetary policy shocks using forecasts and real-time data. However, such data is not always (publicly) available, especially in a historical context. We explore the consequences of using revised data instead of the original forecast and real-time data when estimating policy shocks using the Romer and Romer framework. To this end, we estimate policy shocks for the same period as Romer and Romer. We find that using revised data has little impact on actual shock estimates, and the estimated effects of monetary policy shocks are similar.
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author
and
organization
publishing date
type
Working paper/Preprint
publication status
published
subject
keywords
Monetary policy shocks, prices, GDP, E20, E30, E40, E50, E60
in
Working Papers
issue
2021:19
pages
23 pages
language
English
LU publication?
yes
id
ce7a115d-69a5-4528-806f-9e88f3017a8f
date added to LUP
2022-01-28 14:17:45
date last changed
2024-03-14 15:00:39
@misc{ce7a115d-69a5-4528-806f-9e88f3017a8f,
  abstract     = {{Romer and Romer (2004) propose a simple method to estimate monetary policy shocks using forecasts and real-time data. However, such data is not always (publicly) available, especially in a historical context. We explore the consequences of using revised data instead of the original forecast and real-time data when estimating policy shocks using the Romer and Romer framework. To this end, we estimate policy shocks for the same period as Romer and Romer. We find that using revised data has little impact on actual shock estimates, and the estimated effects of monetary policy shocks are similar.}},
  author       = {{Andersson, Fredrik N G and Kilman, Josefin}},
  keywords     = {{Monetary policy shocks; prices; GDP; E20; E30; E40; E50; E60}},
  language     = {{eng}},
  note         = {{Working Paper}},
  number       = {{2021:19}},
  series       = {{Working Papers}},
  title        = {{A Study of the Romer and Romer Monetary Policy Shocks Using Revised Data}},
  url          = {{https://lup.lub.lu.se/search/files/177122944/WP21_19.pdf}},
  year         = {{2021}},
}