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Predicting early data revisions to US GDP and the effects of releases on equity markets
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Clements, Michael P. and Galvão, Ana Beatriz (2015) Predicting early data revisions to US GDP and the effects of releases on equity markets. Journal of Business & Economic Statistics , 35 (3). pp. 389-406. doi:10.1080/07350015.2015.1076726 ISSN 0735-0015.
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Official URL: http://dx.doi.org/10.1080/07350015.2015.1076726
Abstract
The effects of data uncertainty on real-time decision-making can be reduced by predicting data revisions to US GDP growth. We show that survey forecasts efficiently predict the revision implicit in the second estimate of GDP growth, but that forecasting models incorporating monthly economic indicators and daily equity returns provide superior forecasts of the data revision implied by the release of the third estimate. We use forecasting models to measure the impact of surprises in GDP announcements on equity markets, and to analyse the effects of anticipated future revisions on announcement-day returns. We show that the publication of better than expected third-release GDP figures provides a boost to equity markets, and if future upward revisions are expected, the effects are enhanced during recessions
Item Type: | Journal Article | ||||||||
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Subjects: | H Social Sciences > HA Statistics H Social Sciences > HB Economic Theory |
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Divisions: | Faculty of Social Sciences > Warwick Business School | ||||||||
Library of Congress Subject Headings (LCSH): | Gross domestic product -- Forecasting -- United States, United States -- Surveys, Economic indicators -- Research, Macroeconomics | ||||||||
Journal or Publication Title: | Journal of Business & Economic Statistics | ||||||||
Publisher: | Routledge | ||||||||
ISSN: | 0735-0015 | ||||||||
Official Date: | 4 September 2015 | ||||||||
Dates: |
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Volume: | 35 | ||||||||
Number: | 3 | ||||||||
Page Range: | pp. 389-406 | ||||||||
DOI: | 10.1080/07350015.2015.1076726 | ||||||||
Status: | Peer Reviewed | ||||||||
Publication Status: | Published | ||||||||
Access rights to Published version: | Restricted or Subscription Access | ||||||||
Date of first compliant deposit: | 16 March 2016 | ||||||||
Date of first compliant Open Access: | 4 April 2017 | ||||||||
Funder: | Economic and Social Research Council (Great Britain) (ESRC) | ||||||||
Grant number: | ES/K010611/1] | ||||||||
Adapted As: |
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