Clements, Michael P. and Galvão, Ana Beatriz C. (Ana Beatriz Camatari) (2008) First announcements and real economic activity. Working Paper. Coventry: University of Warwick, Department of Economics. (Warwick economic research papers).

Preview

PDF WRAP_Clements_twerp_885.pdf - Requires a PDF viewer such as GSview, Xpdf or Adobe Acrobat Reader Download (360Kb)

Abstract

The recent literature suggests that first announcements of real output growth in the US have predictive power for the future course of the economy. We show that this need not point to a behavioural relationship, whereby agents respond to the announcement, but may instead simply be a by-product of the data revision process. Initial estimates are subsequently subject to a number of rounds of revisions: the nature of these revisions is shown to be key in determining any apparent relationship between first announcements and the future course of the economy.

Item Type:	Working or Discussion Paper (Working Paper)
Subjects:	H Social Sciences > HB Economic Theory
Divisions:	Faculty of Social Sciences > Economics
Library of Congress Subject Headings (LCSH):	Econometric models, Industrial productivity -- United States, Industrial productivity -- Measurement, Economics -- Data processing
Series Name:	Warwick economic research papers
Publisher:	University of Warwick, Department of Economics
Place of Publication:	Coventry
Date:	18 December 2008
Number:	No.885
Number of Pages:	33
Status:	Not Peer Reviewed
Access rights to Published version:	Open Access
References:	Aruoba, S. B. (2008). Data revisions are not well-behaved. Journal of Money, Credit and Banking, 40, 319�340. Clements, M. P., and Galvão, A. B. (2008a). Forecasting US output growth using leading indicators: An appraisal using MIDAS models. Journal of Applied Econometrics. Forthcoming. Clements, M. P., and Galvão, A. B. (2008b). Macroeconomic forecasting with mixed-frequency data: Forecasting output growth in the United States. Journal of Business and Economic Statistics, 26, 546�554. No. 4. Corradi, V., Fernandez, A., and Swanson, N. R. (2007). Information in the revision process of real-time datasets. Working paper, Rutgers University. Croushore, D. (2006). Forecasting with real-time macroeconomic data. In Elliott, G., Granger, C., and Timmermann, A. (eds.), Handbook of Economic Forecasting, Volume 1. Handbook of Economics 24, pp. 961�982: Elsevier, Horth-Holland. Croushore, D., and Stark, T. (2001). A real-time data set for macroeconomists. Journal of Econo- metrics, 105, 111�130. Croushore, D., and Stark, T. (2003). A real-time data set for macroeconomists: Does the data vintage matter?. The Review of Economics and Statistics, 85, 605�617. Diebold, F. X., and Rudebusch, G. D. (1991). Forecasting output with the composite leading index: A real-time analysis. Journal of the American Statistical Association, 86, 603�610. Faust, J., Rogers, J. H., and Wright, J. H. (2003). Exchange rate forecasting: The errors we�ve really made. Journal of International Economic Review, 60, 35�39. Garratt, A., Lee, K., Mise, E., and Shields, K. (2006). Real time representations of the output gap. mimeo, University of Leicester. Hall, R. E. (1978). Stochastic implications of the life cycle-permanent income hypothesis: Evidence. Journal of Political Economy, 86, 971�987. Jacobs, J. P. A. M., and van Norden, S. (2006). Modeling data revisions: Measurement error and dynamics of �true�values. Ccso working paper 2006/07, CCSO Centre for Economic Research, University of Groningen. Koenig, E. F., Dolmas, S., and Piger, J. (2003). The use and abuse of real-time data in economic forecasting. The Review of Economics and Statistics, 85(3), 618�628. Mankiw, N. G., and Shapiro, M. D. (1986). News or noise: An analysis of GNP revisions. Survey of Current Business (May 1986), US Department of Commerce, Bureau of Economic Analysis, 20�25. Oh, S., andWaldman, M. (1990). The macroeconomic e¤ects of false announcements. The Quarterly Journal of Economics, 105, 1017�1034. No. 4. Oh, S., and Waldman, M. (2005). The index of leading economic indicators as a source of expec- tational shocks. Eastern Economic Journal, 31, 75�95. No. 1. Orphanides, A. (2001). Monetary policy rules based on real-time data. American Economic Review, 91(4), 964�985. Orphanides, A., and van Norden, S. (2005). The reliability of in�ation forecasts based on output gaps in real time. Journal of Money, Credit and Banking, 37, 583�601. Rodriquez Mora, J. V., and Schulstad, P. (2007). The e¤ect of GNP announcements on �uctuations of GNP growth. European Economic Review, 51, 1922�1940. Runkle, D. E. (1998). Revisionist history: How data revisions distort economic policy research. Federal Reserve Bank of Minneapolis Quarterly Review, 22, 3�12. No. 4. Siklos, P. L. (2008). What can we learn from comprehensive data revisions for forecasting in�ation: Some US evidence. In Rapach, D. E., and Wohar, M. E. (eds.), Forecasting in the Presence of Structural Breaks and Model Uncertainty. Frontiers of Economics and Globalization. Volume 3, pp. 271�299: Emerald. Sims, C. A. (1980). Macroeconomics and reality. Econometrica, 48, 1�48. van Dijk, D., Franses, P. H., and Ravazzolo, F. (2007). Evaluating real-time forecasts in real-time. Mimeo, Econometric Institute Research Report EI2007-33, Erasmas University, Rotterdam.
URI:	http://wrap.warwick.ac.uk/id/eprint/1332

Request changes to a record

Actions (login required)

View Item