Belke, Ansgar; Klose, Jens:
Does the ECB Rely on a Taylor Rule? Comparing Ex-post with Real Time Data
Berlin, Essen: Rheinisch-Westfälisches Inst. f. Wirtschaftsforschung, 2009
(Ruhr Economic Papers ; 133)
2009Working PaperOA Gold
WirtschaftswissenschaftenFakultät für Wirtschaftswissenschaften
Titel in Englisch:
Does the ECB Rely on a Taylor Rule? Comparing Ex-post with Real Time Data
Autor*in:
Belke, AnsgarUDE
GND
113316771
LSF ID
47861
ORCID
0000-0002-9743-4758ORCID iD
Sonstiges
der Hochschule zugeordnete*r Autor*in
;
Klose, JensUDE
LSF ID
50877
Sonstiges
der Hochschule zugeordnete*r Autor*in
Erscheinungsort:
Berlin, Essen
Verlag:
Rheinisch-Westfälisches Inst. f. Wirtschaftsforschung
Erscheinungsjahr:
2009
Open Access?:
OA Gold
Umfang:
38 Seiten
Sprache des Textes:
Englisch

Abstract in Englisch:

We assess the differences that emerge in Taylor rule estimations for the ECB when using ex-post data instead of real time forecasts and vice versa. We argue that previous comparative studies in this field mixed up two separate effects. First, the differences resulting from the use of ex-post and real time data per se and, second, the differences emerging from the use of non-modified real time data instead of real-time data based forecasted values and vice versa. Since both effects can influence the reaction to inflation and the output gap either way, we use a more clear-cut approach to disentangle the partial effects. Our estimation results indicate that using real time instead of ex post data leads to higher estimated inflation coefficients while the opposite is true for the output gap coefficients. If real time data forecasts for the current period are used (since actual data become available with a lag), this empirical pattern is even strengthened in the sense of even increasing the inflation response but lowering the reaction to the output gap while the reverse is true if "true" forecasts of real time data for several periods are employed.