The Great Moderation is often characterized by the decline in the variability of output and inflation from earlier periods. While a multitude of explanations for the Great Moderation exist, notable research has focused on the role of monetary policy. Specifically, early evidence suggested that...

Monetary policy rule parameters are usually estimated at the mean of the interest rate distribution conditional on inflation and an output gap. This is an incomplete description of monetary policy reactions when the parameters are not uniform over the conditional distribution of the interest...

This paper evaluates out-of-sample exchange rate forecasting with Purchasing Power Parity (PPP) and Taylor rule fundamentals for 9 OECD countries vis-à-vis the U.S. dollar over the period from 1973:Q1 to 2009:Q1 at short and long horizons. In contrast with previous work, which reports...

Accessibility of real-time data is crucial for applied macroeconomic researchers who aim at evaluating forecasts, policy decisions or the accuracy of initial data estimates. To the extent of our knowledge, no appropriate and comprehensive real-time data set has been published for Switzerland so...

Accessibility of real-time data is crucial for applied macroeconomic researchers who aim at evaluating forecasts, policy decisions or the accuracy of initial data estimates. To the extent of our knowledge, no appropriate and comprehensive real-time data set has been published for Switzerland so...

Forecasts are only as good as the data behind them. But macroeconomic data are revised, often significantly, as time passes and new source data become available and conceptual changes are made. How is forecasting influenced by the fact that data are revised? To answer this question, we begin...

This paper compares the results of applying several detrending methods to the Chilean monthly economic activity index (IMACEC) using real-time data sets. We show that data revisions are extremely important and that they can lead to systematically inconsistent estimates of the trend component....

This paper investigates the differences between parameter estimates of monetary policy reaction functions using real-time data and those using revised data. The model is a New Keynesian DSGE model of the Czech, Hungarian and Polish small open economies in interaction with the euro area. Unlike...

Purpose – The purpose of this paper is to evaluate the performance of six types of policy rules applied for Indonesia, using monthly data spanning January 1980 to December 2008. Design/methodology/approach – This paper uses deterministic simulations on a small macro model and evaluates the...

Purpose – The purpose of this paper is to evaluate the performance of six types of policy rules applied for Indonesia, using monthly data spanning January 1980 to December 2008. Design/methodology/approach – This paper uses deterministic simulations on a small macro model and evaluates the...