First announcements and real economic activity

Clements, Michael P.; Galvão, Ana Beatriz

doi:10.1016/j.euroecorev.2009.12.010

Cited by 11 publications

(8 citation statements)

References 23 publications

(30 reference statements)

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“…An early contribution was Oh and Waldman (1990), who considered the macroeconomic e¤ects of 'false' announcements (see also Oh and Waldman (2005)), and argued that an upbeat estimate of the current state of the economy which was subsequently revised down would lead to stronger output growth than would otherwise have transpired (with the reverse being true of an ex post pessimistic assessment). Rodriguez-Mora and Schulstad (2007) …nd that …rst announcements of GDP growth are a more important determinant of subsequent actual GDP growth than the true value of GDP growth in the earlier period (see also Clements and Galvão (2010)). The importance of expectational errors for business cycle ‡uctuations has a long history, as indicated in the cited papers.…”

Section: Discussionmentioning

confidence: 99%

Predicting Early Data Revisions to U.S. GDP and the Effects of Releases on Equity Markets

Clements

Galvão

2017

Journal of Business & Economic Statistics

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The e¤ects of data uncertainty on real-time decision-making can be reduced by predicting data revisions to US GDP growth. We show that survey forecasts e¢ ciently 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 e¤ects of anticipated future revisions on announcement-day returns. We show that the publication of better than expected third-release GDP …gures provides a boost to equity markets, and if future upward revisions are expected, the e¤ects are enhanced during recessions Predicting Early Data Revisions to US GDP and the E¤ects of Releases on Equity MarketsThe e¤ects of data uncertainty on real-time decision-making can be reduced by predicting data revisions to US GDP growth. We show that survey forecasts e¢ ciently 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 e¤ects of anticipated future revisions on announcement-day returns. We show that the publication of better than expected third-release GDP …gures provides a boost to equity markets, and if future upward revisions are expected, the e¤ects are enhanced during recessions.

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Section: Discussionmentioning

confidence: 99%

Predicting Early Data Revisions to U.S. GDP and the Effects of Releases on Equity Markets

Clements

Galvão

2017

Journal of Business & Economic Statistics

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“…Two strands of the economic literature investigate these revisions and their statistical properties. The first strand investigates whether GDP revisions are news or noise (Mankiw et al, 1984;Mankiw and Shapiro, 1986) and whether they are rational and predictable (Aruoba, 2008;Clements and Galvão, 2010;Faust et al, 2005;Rodríguez Mora and Schulstad, 2007;Sinclair and Stekler, 2013). A second strand focuses on the state-dependence of GDP revisions.…”

Section: Introductionmentioning

confidence: 99%

The state-dependence of output revisions

2020

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This paper investigates whether economic activity dynamics predict GDP revisions using panel data from 15 OECD countries. We find that economic activity predicts GDP revisions: early releases tend to overestimate GDP growth during slowdowns-and vice-versa. We also find that the source of the predictability could be related to the sampling of information collection. Finally, the predictability comes from short-term economic activity dynamics rather than business cycle position.

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“…Note that information dispersion (not only information imperfection) is critical here. If all agents shared the same information, no matter how imprecise, then they would get to know aggregate endogenous variables (such as output) by a simple symmetry argument, which would negate the econometrician's informational advantage or, at best, reduce it to one period 7 . When information is not the same across agents, though, agents will correctly not presume that other agents' decisions will be the same as theirs, hence they will remain uncertain about the aggregate level of the endogenous variables.…”

Section: Introductionmentioning

confidence: 99%

“…Clements and Galvão (2010) entertain both the definition of final release as the latest available or that occurring a fixed number of quarters after the end of the period of interest (in their case 14 quarters, seeming to favor the latter because it is less affected by long-term revisions. On the other hand, Rodriguez-Mora and Schulstad (2007) seem to favor our approach.…”

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confidence: 99%

Identifying Noise Shocks: A VAR with Data Revisions

Masolo¹,

Paccagnini²

2018

J of Money Credit Banking

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We propose a new VAR identification strategy to study the impact of noise shocks on aggregate activity. We do so exploiting the informational advantage the econometrician has, relative to the economic agent. The latter, who is uncertain about the underlying state of the economy, responds to the noisy early data releases. The former, with the benefit of hindsight, has access to data revisions as well, which can be used to identify noise shocks. By using a VAR we can avoid making very specific assumptions on the process driving data revisions. We rather remain agnostic about it but make our identification strategy robust to whether data revisions are driven by noise or news. Our analysis shows that a surprising report of output growth numbers delivers a persistent and hump-shaped response of real output and unemployment. The responses are qualitatively similar but an order of magnitude smaller than those to a demand shock. Finally, our counterfactual analysis supports the view that it would not be possible to identify noise shocks unless different vintages of data are used.

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First announcements and real economic activity

Cited by 11 publications

References 23 publications

Predicting Early Data Revisions to U.S. GDP and the Effects of Releases on Equity Markets

Predicting Early Data Revisions to U.S. GDP and the Effects of Releases on Equity Markets

The state-dependence of output revisions

Identifying Noise Shocks: A VAR with Data Revisions

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