LITERATURE ON REAL-TIME DATA ANALYSISdcrousho/docs/realtime_lit.pdf · 2 Data Revisions Ahmad, Nadim, Bournot, Sophie and Koechlin, Francette. "Revisions to Quarterly GDP Estimates:

LITERATURE ON REAL-TIME DATA ANALYSIS

Compiled by Dean Croushore, University of Richmond

Send corrections and additions to [email protected]

Updated March 5, 2012

For a review of the state of the literature as of December 2009, see:

Croushore, Dean. “Frontiers of Real-Time Data Analysis.” Journal of Economic

Literature 49 (March 2011), pp. 72-100.

Contents

Section Page

1. Data Revisions 2

2. Structural Modeling 10

3. Forecasting 12

4. Monetary and Fiscal Policy 21

5. Current Analysis 27

6. Data Background 29

2

Data Revisions

Ahmad, Nadim, Bournot, Sophie and Koechlin, Francette. "Revisions to Quarterly GDP

Estimates: A Comparative Analysis for Seven Large OECD Countries." 2007.

http://www.oecd.org/dataoecd/20/26/34350524.pdf.

Anderson, Richard G.. "Replicability, Real-Time Data, and the Science of Economic

Research: FRED, ALFRED, and VDC." Federal Reserve Bank of St. Louis Review 88

(2006): 81–93.

Anderson, Richard G. and Kliesen, Kevin L.. "The 1990s Acceleration in Labor

Productivity: Causes and Measurement." Federal Reserve Bank of St. Louis Review 88,

no. 3 (2006): 181-202.

de Antonio Liedo, David and Carstensen, Kai. "A Model for Real-Time Data Assessment

and Forecasting." 2005. http://www.cirano.qc.ca/fin/Real-timeData/Carstensen.pdf.

Aruoba, S. Boragan. "Data Revisions Are Not Well Behaved." Journal of Money, Credit,

and Banking 40 (2008): 319–340.

Ashley, James, Driver, Ronnie, Hayes, Simon and Jeffery, Christopher. "Dealing with

Data Uncertainty." Bank of England Quarterly Bulletin (2005): 23-29.

Barro, Robert J. and Hercowitz, Zvi. "Money Stock Revisions and Unanticipated Money

Growth." Journal of Monetary Economics 6 (1980): 257-267.

Baumeister, Christiane and Kilian, Lutz. "Real-Time Forecasts of the Real Price of Oil."

2011.

Brodsky, Noel and Newbold, Paul. "Late Forecasts and Early Revisions of United States

GNP." International Journal of Forecasting 10 (1994): 455-460.

Castle, Jennifer and Ellis, Colin. "Building a Real-Time Database for GDP(E)." Bank of

England Quarterly Bulletin (2002): 42-49.

Conrad, William and Corrado, Carol. "Application of the Kalman Filter to Revisions in

Monthly Retail Sales Estimates." Journal of Economic Dynamics and Control 1 (1979):

177-98.

Corradi, Valentina, Fernandez, Andres and Swanson, Norman R.. "Information in the

Revision Process of Real-Time Datasets." Journal of Business and Economic Statistics

27 (2009): 455-467.

Croushore, Dean. "Frontiers of Real-Time Data Analysis." Journal of Economic

Literature 49, no. 1 (2011): 72-100.

3

Croushore, Dean and Stark, Tom. "A Real-Time Data Set for Macroeconomists." Journal

of Econometrics 105 (2001): 111-130.

Croushore, Dean and Stark, Tom. "A Funny Thing Happened on the Way to the Data

Bank: A Real-Time Data Set for Macroeconomists." Federal Reserve Bank of

Philadelphia Business Review (2000): 15-27.

Cunningham, Alastair, Eklund, Jana, Jeffery, Christopher, Kapetanios, George and

Labhard, Vincent. "A State Space Approach to Extracting the Signal from Uncertain

Data." Journal of Business and Economic Statistics (forthcoming): .

DeJong, Piet. "Rational Economic Data Revisions." Journal of Business and Economic

Statistics 5 (1987): 539-548.

Dewald, William G., Thursby, Jerry G. and Anderson, Richard G.. "Replication in

Empirical Economics: The Journal of Money, Credit and Banking Project." American

Economic Review 76 (1986): 587-603.

Diebold, Francis X. and Rudebusch, Glenn D.. "Stochastic Properties of Revisions in the

Index of Indicators." Paper presented at the meeting of the Proceedings of the American

Statistical Association, Washington, DC, 1988.

Dynan, Karen E. and Elmendorf, Douglas. "Do Provisional Estimates of Output Miss

Economic Turning Points?." 2001.

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Egginton, Don M., Pick, Andreas and Vahey, Shaun P.. "'Keep It Real!‟: A Real-time UK

Macro Data Set." Economics Letters 77 (2002): 15-20.

Eitrheim, Øyvind and Jore, Anne Sofie. "Revisions of Labour Productivity and Their

Effects on Wage Inflation Forecasts." 2006. http://www.cirano.qc.ca/fin/Real-

timeData/2006/Eitrheim.pdf.

Faust, Jon, Rogers, John H. and Wright, Jonathan H.. "News and Noise in G-7 GDP

Announcements.." Journal of Money, Credit, and Banking 37 (2005): 403–419.

Fernandez, Adriana Z., Koenig, Evan F. and Nikolsko-Rzhevskyy, Alex. "A Real-Time

Historical Database for the OECD." 2011.

Fixler, Dennis J. and Nalewaik, Jeremy J.. "News, Noise, and Estimates of the „True‟

Unobserved State of the Economy." 2006.

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Galbraith, John W. and Tkacz, Greg. "Electronic Transactions as High-Frequency

Indicators of Economic Activity." 2007.

http://www.bankofcanada.ca/en/res/wp/2007/wp07-58.pdf.

4

Gallo, Giampiero M. and Marcellino, Massimiliano. "In Plato‟s Cave: Sharpening the

Shadows of Monetary Announcements." 1996.

Garratt, Anthony, Koop, Gary and Vahey, Shaun P.. "Forecasting Substantial Data

Revisions in the Presence of Model Uncertainty." 2006.

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Garratt, Anthony and Vahey, Shaun P.. "UK Real-Time Macro Data Characteristics."

Economic Journal 116 (2006): F119-F135.

Gartaganis, Arthur J. and Goldberger, Arthur S.. "A Note on the Statistical Discrepancy

in the National Accounts." Econometrica 23 (1955): 166-173.

Ghosh, Sucharita and Lien, Donald. "Data Revision and Market Response: The Case of

United States Trade Balance Announcements." Oxford Bulletin of Economics and

Statistics 57, no. 2 (1995): .

Giannone, Domenico, Henry, Jérôme, Lalik, Magdalena and Modugno, Michele. "An

Area Wide Real Time Data Base for the Euro Area." 2008.

Gleiser, H. and Schavey, P.. "An Analysis of Revisions of National Accounts Data for 40

Countries." Review of Income and Wealth 20, no. 3 (1974): 317-32.

Guerrero, Victor M.. "Combining Historical and Preliminary Information to Obtain

Timely Time Series Data." International Journal of Forecasting (1993): 477–485.

Haltom, Nicholas L., Mitchell, Vanessa D. and Tallman, Ellis W.. "Payroll Employment

Data: Measuring the Effects of Annual Benchmark Revisions." Federal Reserve Bank of

Atlanta Economic Review (2005): 1-23.

Harvey, A.C., McKenzie, C.R., Blake, D.P.C. and Desai, M.J.. "Irregular Data

Revisions." U.S. Department of Commerce, Economic Research Report ER-5 (1983):

329–347.

Hecq, Alain and Mazzi, Gian Luigi. "Advanced Revision Analysis for Economic Time

Series and Their Role for Improving Forecast Accuracy." 2008.

Himmelberg, Charles P., Mahoney, James M., Bang, April and Chernoff, Brian. "Recent

Revisions to Corporate Profits: What We Know and When We Know It." Federal

Reserve Bank of New York Current Issues in Economics and Finance 10 (2004): .

Hogrefe, Jens. "Forecasting data revisions of GDP: a mixed frequency approach."

Advances in Statistical Analysis 92, no. 3 (2008): 271-296.

Holden, K. and Peel, D.A.. "Data Revisions and Time Series Models of GDP and Its

5

Components." Applied Economics 14 (1982): 101-110.

Holden, K. and Peel, D.A.. "The Relationships Between Preliminary and Revised

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Jacobs, Jan and Sturm, Jan-Egbert. "A Real-Time Analysis of the Swiss Trade Account."

2006. http://repec.org/mmf2006/up.10144.1159525837.pdf.

Jacobs, Jan P.A.M. and van Norden, Simon. "Modeling Data Revisions: Measurement

Error and Dynamics of „True‟ Values." 2010. http://neumann.hec.ca/pages/simon.van-

norden/wps/CCSO%20WP%202006-07.pdf.

Jacobs, Jan and Sturm, Jan-Egbert. "Do Ifo Indicators Help Explain Revisions in German

Industrial Production?." Ifo Survey Data in Business Cycle and Monetary Policy Analysis

(2004): .

Kapetanios, George and Yates, Tony. "Estimates of Measurement Error in United

Kingdom GDP and its Expenditure Components." 2004.

Kavajecz, Kenneth. "The Evolution of the Federal Reserve‟s Monetary Aggregates: A

Timeline." Federal Reserve Bank of St. Louis Review (1994): 32-66.

Kavajecz, Kenneth and Collins, Sean. "Rationality of Preliminary Money Stock

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Kawagoe, Masaaki. "How Is Economic Growth Rate Revised Afterwards? Real-time

Data Analysis of Real GDP Growth Rate." Quarterly Journal of National Accounts of

Japan, no. 134 (2007): .

Kennedy, James E.. "An Analysis of Revisions to the Industrial Production Index." 1990.

Kilian, Lutz. "Real-Time Forecasts of the Real Price of Oil." 2011.

Kishor, N. Kundan. "Revisions to WPI Inflation in India: News or Noise?." 2009.

Knetsch, Thomas A. and Reimers, Hans-Eggert. "How to Treat Benchmark Revisions?

The Case of German Production and Orders Statistics." 2008.

Krikelas, Andrew C.. "Revisions to Payroll Employment Data: Are They Predictable?."

Federal Reserve Bank of Atlanta Economic Review (1994): 17-29.

de Leeuw, Frank. "The Reliability of U.S. Gross National Product." Journal of Business

and Economic Statistics 8 (1990): 191-203.

Lupi, Claudio and Peracchi, Franco. "The limits of statistical information: How important

6

are GDP revisions in Italy?." 2003.

Mankiw, N. Gregory, Runkle, David E. and Shapiro, Matthew D.. "Are Preliminary

Announcements of the Money Stock Rational Forecasts?." Journal of Monetary

Economics 14 (1984): 15-27.

Mankiw, N. Gregory and Shapiro, Matthew D.. "News or Noise: An Analysis of GNP

Revisions." Survey of Current Business (1986): 20-5.

McKenzie, Richard. "Relative Size and Predictability of Revisions to GDP, Industrial

Production and Retail Trade – A Comparative Analysis Across OECD Member

Countries." 2007.

McNees, Stephen K.. "Forecasts and Actuals: The Trade-Off Between Timeliness and

Accuracy." International Journal of Forecasting 5 (1989): 409-416.

McNees, Stephen K.. "Estimating GNP: The Trade-Off Between Timeliness and

Accuracy." New England Economic Review (1986): 3-10.

Morgenstern, Oskar. On the Accuracy of Economic Observations. Princeton: Princeton

University Press, 1963.

Mork, Knut A.. "Forecastable Money-Growth Revisions: A Closer Look at the Data."

Canadian Journal of Economics 23 (1990): 593-616.

Mork, Knut A.. "Ain‟t Behavin‟: Forecast Errors and Measurement Errors in Early GNP

Estimates." Journal of Business and Economic Statistics 5 (1987): 165-75.

Neumark, David and Wascher, William L.. "Can We Improve Upon Preliminary

Estimates of Payroll Employment Growth?." Journal of Business and Economic Statistics

9 (1991): 197–205.

Oller, Lars-Erik and Teterukovsky, Alex. "Quantifying the Quality of Macroeconomic

Variables." International Journal of Forecasting 23 (2007): 205-217.

Palis, Rebeca de la Rocque, Ramos, Roberto Luis Olinto and Robitaille, Patrice. "News

or Noise? An Analysis of Brazilian GDP Announcements." Federal Reserve Board of

Governors, International Finance Discussion Papers, no. 776 (2004): .

Patterson, K.D.. "Which Vintage of Data to Use When There Are Multiple Vintages of

Data? Cointegration, Weak Exogeneity, and Common Factors." Economics Letters 69

(2000): 115–121.

Patterson, K.D.. "An Integrated Model of Data Measurement and Data Generation

Processes with an Application to Consumers‟ Expenditure." Economic Journal 105

(1995): 54–76.

7

Patterson, K.D.. "Forecasting the Final Vintage of Real Personal Disposable Income: A

State Space Approach." International Journal of Forecasting 11 (1995): 395–405.

Patterson, K.D.. "Revisions to the Components of the Trade Balance for the United

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Patterson, K.D. and Heravi, S.M.. "Direct Estimation of Entropy and Revisions to the

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Patterson, K. D.. "Modelling the Data Measurement Process for the Index of Production."

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Preliminary Vintages of Data with an Application to Aggregate Consumption."

Economics Letters 46 (1994): 215–222.

Patterson, K. D. and Heravi, S.M.. "Revisions to Official Data on U.S. GNP: A

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Patterson, K. D. and Heravi, S.M.. "The Information Content and Gain of Revisions to

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8

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in the Netherlands." Applied Economics Quarterly 52 (2006): 337-356.

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Economic Trends 475 (1993): 157–67.

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Journal of Political Economy 97 (1989): 251-287.

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Accounts." Applied Financial Economics 6 (1996): 59–70.

Sleeman, Cath. "Analysis of Revisions to Quarterly GDP - a Real-Time Database."

Reserve Bank of New Zealand Bulletin 69 (2006): 31-44.

Stark, Tom. "Revisions to Nonfarm Payroll Employment: 1964-2011." Federal Reserve

Bank of Philadelphia Research Rap (2011): .

Stekler, H.O.. "The Effect of Data Revisions and Additional Observations on Time Series

Estimates." Applied Economics 19, no. 3 (1987): 347-353.

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Data Rationality and Business Cycle Asymmetry." Journal of Business & Economic

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9

Analysis of the Data Revision Process for Industrial Production and the Composite

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Tallman, Ellis W. and Zadrozny, Peter A.. "Information in Data Revision Processes:

Payroll Employment and Real-Time Measurement of Employment Conditions." 2004.

Tosetta, Elena. "Revisions of Quarterly Output Gap Estimates for 15 OECD Member

Countries." 2008.

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Output Gap Estimates in Real Time." 2010.

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or Forecast Error?." Federal Reserve Bank of San Francisco Economic Review (1985): 5-

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Product and Its Components, of Selected National Income Components, and of Personal

Saving." Journal of the American Statistical Association 53 (1958): 54-65.

10

Structural Modeling

Amato, Jeffery D. and Swanson, Norman R.. "The Real Time Predictive Content of

Money for Output." Journal of Monetary Economics 48 (2001): 3-24.

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Bomfim, Antulio. "Measurement Error in General Equilibrium: The Aggregate Effects of

Noisy Economic Indicators." Journal of Monetary Economics 48 (2001): 585–603.

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309-333.

Casares, Miguel and Vazquez, Jesus. "Data Revisions in the Estimation of DSGE

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Clements, Michael P. and Galvão, Ana Beatriz. "First Announcements and Real

Economic Activity." 2009.

Croushore, Dean and Stark, Tom. "A Real-Time Data Set for Macroeconomists: Does the

Data Vintage Matter?." Review of Economics and Statistics 85 (2003): 605-617.

Edge, Rochelle M., Laubach, Thomas and Williams., John C.. "Learning and Shifts in

Long-Run Productivity Growth." Journal of Monetary Economics 54 (2007): 2421-2438.

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Policies in the Euro Area." Journal of Policy Modeling 28 (2006): 943-964.

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of Comovements." 2010. http://www.philadelphiafed.org/research-and-

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Hughes Hallett, Andrew, Kattai, Rasmus and Lewis, John. "Early Warning or Just Wise

After the Event? The Problem of Using Cyclically Adjusted Budget Deficits for Fiscal

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11

Smoothing Based Fiscal Policy Rule." 2002.

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12

Forecasting

Adjemain, Stéphane, Gregoir, Stéphane and Pelgrin, Florian. "Modelling Data Revisions

and Weak Structural Analysis of Forecasts: A Bayesian VAR Perspective." 2006.

Aiolfi, Marco, Capistran, Carlos and Timmermann, Allan. "Forecast Combinations."

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Inflation?." Federal Reserve Bank of Minneapolis Quarterly Review 25, no. 1 (2001): 2-

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Bentancor, Andrea and Pincheira, Pablo. "Improving Inflation Forecasts from the Survey

of Professional Forecasters in Chile." 2008.

Boero, Gianna, Smith, Jeremy and Wallis, Kenneth F.. "Evaluating a Three-Dimensional

Panel of Point Forecasts: The Bank of England Survey of External Forecasters." 2008.

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13

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Breaks and Model Uncertainty Frontiers ofEconomics and Globalization Series,, edited

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21

Monetary and Fiscal Policy

Aastveit, Knut Are and Trovik, Torres G.. "Can Factor Models Improve Output Gap

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Bernhardsen, Tom, Øyvind Eitrheim, Jore, Anne Sofie and Øistein Roisland. "Real Time

Data for Norway: Challenges for Monetary Policy." North American Journal of

Economics and Finance 16, no. 3 (2005): 333-49.

Bernoth, Kerstin, Hallett, Andrew Hughes and Lewis, John. "Did Fiscal Policy Makers

Know What They Were Doing? Reassessing Fiscal Policy with Real-Time Data." 2008.

Boivin, Jean. "Has U.S. Monetary Policy Changed? Evidence from Drifting Coefficients

and Real-Time Data." Journal of Money, Credit, and Banking 38 (2006): 1149-1173.

Cayen, Jean-Philippe and van Norden, Simon. "The Reliability of Canadian Output Gap

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Chauvet, Marcelle and Tierney, Heather L. R.. "Real Time Changes in Monetary

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Cimadomo, Jacopo. "Fiscal Policy in Real Time." 2010.

Cimadomo, Jacopo, Hauptmeier, Sebastian and Sola, Sergio. "Identifying the Effects of

Government Spending Shocks With and Without Expected Reversal: An Approach Based

on U.S. Real-Time Data." 2011.

Clark, Todd E. and Kozicki, Sharon. "Estimating Equilibrium Real Interest Rates in Real

Time." North American Journal of Economics and Finance 16 (2005): 395-413.

Coenen, Gunter, Levin, Andrew and Wieland, Volker. "Data Uncertainty and the Role of

Money as an Information Variable for Monetary Policy." European Economic Review 4

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Policy." 2008. facultystaff.richmond.edu/~dcrousho/docs/Revisions to PCE

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Croushore, Dean and Evans, Charles L.. "Data Revisions and the Identification of

Monetary Policy Shocks." Journal of Monetary Economics 53 (2006): 1135–1160.

Cukierman, Alex and Lippi, Francesco. "Endogenous Monetary Policy with Unobserved

Potential Output." Journal of Economic Dynamics and Control 29, no. 11 (2005): 1951-

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with UK Monetary Aggregates in the Presence of Model Uncertainty." Journal of

Business and Economic Statistics 27 (2009): 480–491.

Gerberding, Christina, Seitz, Franz and Worms, Andreas. "How the Bundesbank Really

Conducted Monetary Policy: An Analysis Based on Real-Time Data." North American

Journal of Economics and Finance 16 (2005): 277-292.

Gerdesmeier, Dieter and Roffia, Barbara. "The Relevance of Real-Time Data in

Estimating Reaction Functions for the Euro Area." North American Journal of

Economics and Finance 16 (2005): 293-307.

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Giannone, Domenico, Reichlin, Lucrezia and Sala, Luca. "Monetary Policy in Real

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Glück, Heinz and Schleicher, Stefan P.. "Forecast Quality and Simple Instrument Rules:

A Real-Time Data Approach." 2004.

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Monetary Policy." North American Journal of Economics and Finance 16 (2005): 271-

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Estimates with Revised Data." 2011.

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for Inflation Forecasting and Policymaking." North American Journal of Economics and

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Unemployment Natural Rate." 2005.

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Rate Smoothing." Federal Reserve Bank of San Francisco Economic Review (2002): 17–

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Mehra, Yash. "The Taylor Principle, Interest Rate Smoothing, and Fed Policy in the

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Real-Time Data: A Tale of Two Countries and One Exchange Rate." Journal of

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the Euro." 2008. www.uh.edu/~dpapell/Taylor%20Euro.pdf.

Nelson, Edward and Nikolov, Kalin. "UK Inflation in the 1970s and 1980s: The Role of

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Inflation: A View from the Trenches." Journal of Money, Credit, and Banking 36, no. 2

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Orphanides, Athanasios. "Monetary Policy Evaluation with Noisy Information." Journal

of Monetary Economics 50 (2003): 605-631.

Orphanides, Athanasios. "The Quest for Prosperity without Inflation." Journal of

Monetary Economics 50 (2003): 633–663.

Orphanides, Athanasios. "Historical Monetary Policy Analysis and the Taylor Rule."

Journal of Monetary Economics 50 (2003): 983-1022.

Orphanides, Athanasios. "Monetary-Policy Rules and the Great Inflation." American

Economic Review Papers & Proceedings 92 (2002): 115-120.

Orphanides, Athanasios. "Monetary Policy Rules Based on Real-Time Data." American

Economic Review 91 (2001): 964–985.

Orphanides, Athanasios and van Norden, Simon. "The Unreliability of Output Gap

Estimates in Real Time." Review of Economics and Statistics 84 (2002): 569-583.

25

Orphanides, Athanasios, Porter, Richard D., Reifschneider, David, Tetlow, Robert and

Finan, Federico. "Errors in the Measurement of the Output Gap and the Design of

Monetary Policy." 1999.

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Orphanides, Athanasios and Williams, John C.. "The Decline of Activist Stabilization

Policy: Natural Rate Misperceptions, Learning, and Expectations." Journal of Economic

Dynamics and Control 29 (2005): 1927-50.

Orphanides, Athanasios and Williams, John C.. "Robust Monetary Policy Rules with

Unknown Natural Rates." Brookings Papers on Economic Activity (2002): 63-118.

Paloviita, Maritta and Kinnunen, Helvi. "Real Time Analysis of Euro Area Fiscal

Policies: Adjustment to the Crisis." 2011.

Perez, Stephen. "Revised or Real-Time Data: What Should Be Used To Characterize the

FOMC‟s Information Set?."

Pierce, David A., Parke, D. W., Cleveland, W. P. and Maravall, A.. "Uncertainty in the

Monetary Aggregates: Sources, Measurement and Policy Effects." The Journal of

Finance 36, no. 2 (1981): 507-515.

Rudebusch, Glenn D.. "Monetary Policy Inertia: Fact or Fiction?." International Journal

of Central Banking 2 (2006): 85-135.

Rudebusch, Glenn D.. "Assessing Nominal Income Rules for Monetary Policy with

Model and Data Uncertainty." Economic Journal 112 (2002): 402-432.

Rudebusch, Glenn D.. "Is the Fed Too Timid? Monetary Policy in an Uncertain World."

Review of Economics and Statistics 83 (2001): 203-217.

Rudebusch, Glenn D. "Do Measures of Monetary Policy in a VAR Make Sense?."

International Economic Review 39, no. a (1998): 907-31.

Runkle, David E.. "Revisionist History: How Data Revisions Distort Economic Policy

Research." Federal Reserve Bank of Minneapolis Quarterly Review (1998): 3-12.

Sauer, Stephan and Sturm, Jan-Egbert. "Using Taylor Rules to Understand European

Central Bank Monetary Policy." German Economic Review 8 (2007): 375–398.

Siklos, Pierre and Weymark, Diana. "Why Did the Fed Act Gradually? Estimating

Changes in Inflation Pressure in Real Time." 2007.

Siklos, Pierre L.. "Revisiting the Coyne Affair: A Singular Event that Changed the

Course of Canadian Monetary History." 2006.

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26

Siklos, Pierre L. and Bohl, Martin L.. "The Role of Asset Prices in Euro Area Monetary

Policy: Specification and Estimation of Policy Rules and Implications for the ECB."

2005.

Siklos, P. L., T. Werner and Bohl, M. T.. "Asset Prices in Taylor Rules: Specification,

Estimation, and Policy Implications for the ECB." 2004.

Sirchenko, Andrei. "Policymakers' Votes and Predictability of Monetary Policy." 2010.

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Sirchenko, Andrei. "Modeling Monetary Policy in Real Time: Does Discreteness

Matter?." 2008. http://eerc.ru:8088/details/EERCWorkingPaper.aspx?id=595.

Smets, Frank. "Output Gap Uncertainty: Does It Matter for the Taylor Rule?." Empirical

Economics 27 (2002): 113-129.

Staiger, Douglas, Stock, James H. and Watson, Mark W.. "The NAIRU, Unemployment,

and Monetary Policy." Journal of Economic Perspectives 11 (1997): 33-49.

Swanson, Eric. "Signal Extraction and Non-Certainty-Equivalence in Optimal Monetary

Policy Rules." Macroeconomic Dynamics 8 (2004): 27-50.

Tchaidze, Robert. "Estimating Taylor Rules in a Real-Time Setting." 2001.

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Tetlow, Robert J. and Ironside, Brian. "Real-time Model Uncertainty in the United States:

the Fed, 1996-2003." Journal of Money, Credit, and Banking 39 (2007): 1533-1561.

Trimbur, Thomas M.. "Improving Real-Time Estimates of the Output Gap and a Method

for Improving Output Gap Estimates in Real Time." 2010.

Watson, Mark W.. "How Accurate Are Real-Time Estimates of Output Trends and

Gaps?." Federal Reserve Bank of Richmond Economic Quarterly 93 (2007): 143-161.

Yetman, James. "Discretionary Policy, Potential Output Uncertainty, and Optimal

Learning." 2005. www.rbnz.govt.nz/research/discusspapers/dp05_07.pdf.

27

Current Analysis: Business and Financial Conditions

Amstad, Marlene and Fischer, Andreas M.. "Real Time Pass-Through Estimates from

Import Prices to Consumer Prices in a Data Rich Environment." 2006.

Aruoba, S. Boragan, Diebold, Francis X. and Scotti, Chiara. "Real-Time Measurement of

Business Conditions." Journal of Business and Economic Statistics 27 (2009): 417-427.

Basistha, Arabinda. "A Comparison of Business Cycle Regime Nowcasting Performance

between Real-Time and Revised Data." 2008.

Camacho, Maximo and Perez-Quiros, Gabriel. "Introducing the EURO-STING: Short

Term INdicator of Euro Area Growth." 2008.

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Data Background

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