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Federal Reserve Bank of Chicago
Data revisions and the identification of
monetary policy shocks
By: Dean Croushore and Charles L.
Evans
WP 2000-26
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7
-1.5
-1.0
-0.5
0.0
0.5
1.0
1.5
2.0
2.5
1962
1965
FFSHOCK_98_4
FFSHOCK_93_4
FFSHOCK_88_4
FFSHOCK_83_4
1968
1971
1974
CEE Model Monetary Policy Shocks
Figure 3.1
1977
1980
-0.90
-0.60
-0.30
0.00
0.30
-0.08
-0.06
-0.04
-0.02
0.00
0.02
0.04
0.06
-0.42
-0.36
-0.30
-0.24
-0.18
-0.12
-0.06
0.00
0.06
1
1
1
3
3
3
5
FF->PCOMM
5
FF->P
5
FF->Y
7
7
7
9
9
9
P_83
P_88
P_93
P_98
11
PCOMM_83
PCOMM_88
PCOMM_93
PCOMM_98
11
11
Y_83
Y_88
Y_93
Y_98
-0.32
-0.24
-0.16
-0.08
0.00
0.08
0.16
0.24
0.32
-0.50
-0.25
0.00
0.25
0.50
0.75
1.00
-0.16
0.00
0.16
0.32
0.48
0.64
0.80
0.96
1
1
1
3
3
3
5
FF->TOTRES
5
FF->NBRES
5
FF->FF
7
7
7
CEE Model Impulse Responses to Monetary Policy Shock
Figure 3.2
9
9
9
11
TOTRES_83
TOTRES_88
TOTRES_93
TOTRES_98
11
NBRES_83
NBRES_88
NBRES_93
NBRES_98
11
INT_83
INT_88
INT_93
INT_98
-5.0
-2.5
0.0
2.5
5.0
7.5
1961
1964
ASHOK_MP_98_4
ASHOK_MP_93_4
ASHOK_MP_88_4
ASHOK_MP_83_4
1967
1970
1973
1976
Gali Model Monetary Policy Shocks
Figure 3.3
1979
1982
13
17
17
21
21
25
25
29
-0.4
-0.6
-3.0
-3.5
29
-0.2
-2.5
PRICE_98
29
INT_98
INT_93
9
MP->FF
13
INT_88
5
9
PRICE_93
1
5
INT_83
0.8
1
MONEY_98
MONEY_93
MONEY_88
MONEY_83
PRICE_88
1.0
-1.4
MP->MONEY
PRICE_83
29
-0.0
25
25
-2.0
21
21
0.2
17
17
-1.5
13
MP->P
13
0.4
9
9
-1.2
-1.0
5
5
Y_98
Y_93
Y_88
Y_83
-1.0
-0.8
-0.6
-0.4
-0.2
-0.0
0.6
1
1
MP->Y
-0.5
0.0
0.5
-1.0
-0.8
-0.6
-0.4
-0.2
-0.0
0.2
Gali Model Impulse Responses to Monetary Policy Shock
Figure 3.4
-3
-2
-1
0
1
2
3
4
1968
1972
Real-time
1976
1980
1998 vintage
1984
1988
Real-time MP shocks v. 1998 vintage shocks
FIgure 5.1
...::--
1992
Figure 5.2
Real-time v. 1998 vintage: 1968-93
Y-P-PCOM-FF-NBR-TR
FF --> Y*
FF --> FF
0.32
1.00
0.16
0.75
0.00
0.50
-0.16
0.25
-0.32
0.00
-0.48
-0.25
-0.64
-0.50
-0.80
-0.75
2
8
14
20
26
2
8
14
20
Real-time
PLUSLIST()
Real-time
PLUSLIST()
1998 vintage
MINLIST()
1998 vintage
MINLIST()
FF --> P*
26
FF --> NBR*
0.25
0.00
-0.25
2.0
1.5
1.0
-0.50
-0.75
-1.00
0.5
0.0
-1.25
-0.5
-1.50
-1.0
-1.75
-2.00
2
8
14
20
26
-1.5
2
8
14
20
Real-time
PLUSLIST()
Real-time
PLUSLIST()
1998 vintage
MINLIST()
1998 vintage
MINLIST()
FF --> PCOM*
26
FF --> TR*
2.4
1.5
1.2
1.0
0.0
-1.2
0.5
-2.4
0.0
-3.6
-0.5
-4.8
-6.0
-1.0
2
8
14
20
26
2
8
14
20
Real-time
PLUSLIST()
Real-time
PLUSLIST()
1998 vintage
MINLIST()
1998 vintage
MINLIST()
26
2
8
14
20
26
26
2
20
26
20
26
-0.10
-0.15
-0.20
-0.25
-0.30
-0.35
-0.40
0.05
-0.00
-0.05
8
14
20
FF --> Y*, Yt+4_t
26
-1.4
-1.2
-1.0
-0.8
-0.6
-0.4
-0.2
-0.0
0.2
-1.4
14
-1.2
-0.6
-1.0
-0.8
-0.6
-0.4
-0.5
-0.4
-0.3
-0.2
-0.2
2
2
14
20
8
14
20
FF --> P*, Pt+4_t
8
26
26
0.25
0.00
-0.25
-0.50
-0.75
-1.00
-1.25
1.00
0.75
0.50
-1.20
-0.80
-0.40
-0.00
0.40
0.80
1.20
-0.1
1.60
0.2
-0.0
-1.40
-1.05
-0.70
-0.35
0.00
0.35
0.1
8
20
FF --> P*, Pt+3_t
14
-1.20
-0.0
2
-1.4
FF --> Y*, Yt+3_t
-1.2
-0.5
-1.0
-0.8
-0.6
-0.4
-0.2
-0.4
-0.3
-0.2
-0.1
-0.0
8
26
0.70
20
14
FF --> P*, Pt+2_t
8
-0.80
-0.40
-0.00
0.40
0.80
1.20
1.05
14
2
26
0.2
8
26
20
-0.0
2
20
-1.0
-1.2
-1.4
-0.6
-0.8
14
FF --> P*, Pt+1_t
8
-1.20
-0.80
-0.40
-0.00
0.40
0.80
1.20
1.60
0.1
2
14
FF --> Y*, Yt+2_t
8
0.4
0.2
-0.0
-0.2
-0.4
2
FF --> P*, Pt_t
0.2
-0.48
-0.40
-0.32
-0.24
-0.16
-0.08
0.00
0.08
0.16
FF --> Y*, Yt+1_t
-1.4
-0.4
-0.3
-0.2
-0.5
-0.0
-0.2
0.4
0.2
-0.4
-0.6
-0.8
-1.0
-1.2
2
FF --> Y*, Yt_t
-0.1
-0.0
0.1
0.2
2
2
2
2
2
14
20
14
20
14
20
14
20
8
14
20
FF --> NBR*, NBRt+4_t
8
FF --> NBR*, NBRt+3_t
8
FF --> NBR*, NBRt+2_t
8
FF --> NBR*, NBRt+1_t
8
FF --> NBR*, NBRt_t
Y-P-PCOM-FF-NBR-TR
26
26
26
26
26
-0.25
0.00
0.25
0.50
0.75
-1.0
-0.5
0.0
0.5
1.0
1.5
-1.05
-0.70
-0.35
0.00
0.35
0.70
1.05
-0.25
-0.50
-0.75
0.25
0.00
1.00
0.75
0.50
1.50
1.25
-1.5
-1.0
-0.5
0.0
0.5
1.0
1.5
2
2
2
2
2
14
20
14
20
14
20
14
20
8
14
20
FF --> TR*, TRt+4_t
8
FF --> TR*, TRt+3_t
8
FF --> TR*, TRt+2_t
8
FF --> TR*, TRt+1_t
8
FF --> TR*, TRt_t
Data revisions after FF shock(1968-93)
Figure 5.3
26
26
26
26
26
Figure 5.4
Real-time v. 1998 vintage: 1968-93
Y-P-PCOM-FF-NBR-TR
Y* --> Y*
Y* --> FF
0.75
1.25
1.00
0.50
0.75
0.25
0.50
0.00
0.25
0.00
-0.25
-0.25
-0.50
-0.50
-0.75
-0.75
2
8
14
20
26
2
14
20
PLUSLIST()
Real-time
PLUSLIST()
1998 vintage
MINLIST()
1998 vintage
MINLIST()
Y* --> P*
1.5
1.20
1.0
0.80
0.5
0.40
0.0
-0.00
-0.5
-0.40
-1.0
-0.80
-1.5
2
8
26
Y* --> NBR*
1.60
-1.20
8
Real-time
14
20
26
-2.0
2
8
14
20
Real-time
PLUSLIST()
Real-time
PLUSLIST()
1998 vintage
MINLIST()
1998 vintage
MINLIST()
Y* --> PCOM*
26
Y* --> TR*
6
1.0
4
0.5
2
0.0
0
-0.5
-2
-1.0
-4
-1.5
2
8
14
20
26
2
8
14
20
Real-time
PLUSLIST()
Real-time
PLUSLIST()
1998 vintage
MINLIST()
1998 vintage
MINLIST()
26
Figure 5.5
Real-time v. 1998 vintage: 1968-93
Y-P-PCOM-FF-NBR-TR
P* --> Y*
P* --> FF
1.0
1.20
0.8
0.80
0.6
0.40
0.4
0.2
-0.00
-0.0
-0.40
-0.2
-0.80
-0.4
-0.6
-1.20
2
8
14
20
26
2
8
14
20
Real-time
PLUSLIST()
Real-time
PLUSLIST()
1998 vintage
MINLIST()
1998 vintage
MINLIST()
P* --> P*
26
P* --> NBR*
3.0
2.4
2.5
1.6
2.0
0.8
1.5
1.0
-0.0
0.5
-0.8
0.0
-1.6
-0.5
-1.0
2
8
14
20
26
-2.4
2
8
14
20
Real-time
PLUSLIST()
Real-time
PLUSLIST()
1998 vintage
MINLIST()
1998 vintage
MINLIST()
P* --> PCOM*
26
P* --> TR*
6.4
1.5
4.8
1.0
3.2
0.5
1.6
0.0
-0.0
-0.5
-1.6
-1.0
-3.2
-1.5
-4.8
-2.0
2
8
14
20
26
2
8
14
20
Real-time
PLUSLIST()
Real-time
PLUSLIST()
1998 vintage
MINLIST()
1998 vintage
MINLIST()
26
Figure 5.6
Real-time v. 1998 vintage: 1968-93
Y-P-PCOM-FF-NBR-TR
PCOM* --> Y*
PCOM* --> FF
1.0
1.0
0.8
0.5
0.6
0.4
0.0
0.2
-0.5
-0.0
-0.2
-1.0
-0.4
-1.5
-0.6
2
8
14
20
26
2
8
14
20
Real-time
PLUSLIST()
Real-time
PLUSLIST()
1998 vintage
MINLIST()
1998 vintage
MINLIST()
PCOM* --> P*
26
PCOM* --> NBR*
2
2.4
1
1.6
0.8
0
-0.0
-1
-0.8
-2
-1.6
-3
-2.4
-4
2
8
14
20
26
-3.2
2
8
14
20
Real-time
PLUSLIST()
Real-time
PLUSLIST()
1998 vintage
MINLIST()
1998 vintage
MINLIST()
PCOM* --> PCOM*
26
PCOM* --> TR*
10.0
7.5
2.4
1.6
5.0
2.5
0.8
0.0
-2.5
-0.0
-5.0
-0.8
-7.5
-10.0
-1.6
-12.5
-2.4
2
8
14
20
26
2
8
14
20
Real-time
PLUSLIST()
Real-time
PLUSLIST()
1998 vintage
MINLIST()
1998 vintage
MINLIST()
26
@FedFRASER