The role of data revisions and disagreement in professional forecasts:
This study has two primary objectives: 1) To investigate whether official data releases of macroeconomic indicators are systematically revised 2) To evaluate the accuracy and disagreement of professional forecasters with respect to initial releases and final values. The analyses are applied to indiv...
Gespeichert in:
| Beteilige Person: | |
|---|---|
| Format: | Elektronisch Buchkapitel |
| Sprache: | Englisch |
| Veröffentlicht: |
Paris
OECD Publishing
2016
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| Schlagwörter: | |
| Links: | https://doi.org/10.1787/jbcma-2015-5jlz9hhp5cg3 https://doi.org/10.1787/jbcma-2015-5jlz9hhp5cg3 https://doi.org/10.1787/jbcma-2015-5jlz9hhp5cg3 https://doi.org/10.1787/jbcma-2015-5jlz9hhp5cg3 https://doi.org/10.1787/jbcma-2015-5jlz9hhp5cg3 https://doi.org/10.1787/jbcma-2015-5jlz9hhp5cg3 https://doi.org/10.1787/jbcma-2015-5jlz9hhp5cg3 https://doi.org/10.1787/jbcma-2015-5jlz9hhp5cg3 https://doi.org/10.1787/jbcma-2015-5jlz9hhp5cg3 https://doi.org/10.1787/jbcma-2015-5jlz9hhp5cg3 https://doi.org/10.1787/jbcma-2015-5jlz9hhp5cg3 https://doi.org/10.1787/jbcma-2015-5jlz9hhp5cg3 https://doi.org/10.1787/jbcma-2015-5jlz9hhp5cg3 https://doi.org/10.1787/jbcma-2015-5jlz9hhp5cg3 https://doi.org/10.1787/jbcma-2015-5jlz9hhp5cg3 https://doi.org/10.1787/jbcma-2015-5jlz9hhp5cg3 https://doi.org/10.1787/jbcma-2015-5jlz9hhp5cg3 |
| Zusammenfassung: | This study has two primary objectives: 1) To investigate whether official data releases of macroeconomic indicators are systematically revised 2) To evaluate the accuracy and disagreement of professional forecasters with respect to initial releases and final values. The analyses are applied to individual forecasts and real-time releases using a unique data set regarding 52 macroeconomic indicators for the US, the Eurozone, and Germany for the period of 1999-2010. The empirical analysis of data revisions shows that some indicators are considerably and systematically revised. Forecasters tend to account for systematic revisions and try to predict final values for certain indicators. For others, forecasters appear to be targeting initial releases, even though these indicators are systematically revised. In the latter case, forecasters use information inefficiently. Forecasters' disagreement regarding fundamentals is higher during domestic recessions and when the national stock market is volatile. Keywords: Rational expectations, macroeconomic indicators, disagreement, survey analysis, real-time data JEL classification: D81, D84, E17 |
| Umfang: | 1 Online-Ressource (39 Seiten) 21 x 28cm |
| DOI: | 10.1787/jbcma-2015-5jlz9hhp5cg3 |
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| spelling | Arnold, Eva A... Verfasser aut The role of data revisions and disagreement in professional forecasts Eva A. Arnold Paris OECD Publishing 2016 1 Online-Ressource (39 Seiten) 21 x 28cm txt rdacontent c rdamedia cr rdacarrier This study has two primary objectives: 1) To investigate whether official data releases of macroeconomic indicators are systematically revised 2) To evaluate the accuracy and disagreement of professional forecasters with respect to initial releases and final values. The analyses are applied to individual forecasts and real-time releases using a unique data set regarding 52 macroeconomic indicators for the US, the Eurozone, and Germany for the period of 1999-2010. The empirical analysis of data revisions shows that some indicators are considerably and systematically revised. Forecasters tend to account for systematic revisions and try to predict final values for certain indicators. For others, forecasters appear to be targeting initial releases, even though these indicators are systematically revised. In the latter case, forecasters use information inefficiently. Forecasters' disagreement regarding fundamentals is higher during domestic recessions and when the national stock market is volatile. Keywords: Rational expectations, macroeconomic indicators, disagreement, survey analysis, real-time data JEL classification: D81, D84, E17 Economics https://doi.org/10.1787/jbcma-2015-5jlz9hhp5cg3 Verlag URL des Erstveröffentlichers Volltext |
| spellingShingle | Arnold, Eva A.. The role of data revisions and disagreement in professional forecasts Economics |
| title | The role of data revisions and disagreement in professional forecasts |
| title_auth | The role of data revisions and disagreement in professional forecasts |
| title_exact_search | The role of data revisions and disagreement in professional forecasts |
| title_full | The role of data revisions and disagreement in professional forecasts Eva A. Arnold |
| title_fullStr | The role of data revisions and disagreement in professional forecasts Eva A. Arnold |
| title_full_unstemmed | The role of data revisions and disagreement in professional forecasts Eva A. Arnold |
| title_short | The role of data revisions and disagreement in professional forecasts |
| title_sort | the role of data revisions and disagreement in professional forecasts |
| topic | Economics |
| topic_facet | Economics |
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