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Data Revisions and the Effects of Monetary Policy Volatility

Kamalyan, Hayk (2021): Data Revisions and the Effects of Monetary Policy Volatility.

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This paper evaluates the effects of monetary policy volatility by fully accounting for real-time nature of policy setting. The empirical analysis shows that the impact of real-data volatility on output is about two times lower compared to that of final data volatility. Qualitatively, the effects of the two measures of volatility are similar. These findings suggest that the business cycle implications of policy-related volatility may possibly be overstated.

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