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First announcements and real economic activity

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  • Clements, Michael P.
  • Beatriz Galvão, Ana

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 while the actual value of output growth does not. We show that this need not point to a behavioural relationship, whereby agents respond to perceptions instead of the truth, but may instead simply be a by-product of the data revision process. The revisions to the initial estimates which define the final values of the observations are shown to be key in determining any relationship between first announcements and the future course of the economy.

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File URL: http://www.sciencedirect.com/science/article/B6V64-4Y6S7PM-1/2/0bcbe6375564a797c456e32212a0458c
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Bibliographic Info

Article provided by Elsevier in its journal European Economic Review.

Volume (Year): 54 (2010)
Issue (Month): 6 (August)
Pages: 803-817

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Handle: RePEc:eee:eecrev:v:54:y:2010:i:6:p:803-817

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Web page: http://www.elsevier.com/locate/eer

Related research

Keywords: Announcements Real activity Data measurement Revisions;

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References

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  17. David E. Runkle, 1998. "Revisionist history: how data revisions distort economic policy research," Quarterly Review, Federal Reserve Bank of Minneapolis, issue Fall, pages 3-12.
  18. van Dijk, D.J.C. & Franses, Ph.H.B.F. & Ravazzolo, F., 2007. "Evaluating real-time forecasts in real-time," Econometric Institute Research Papers EI 2007-33, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  19. Aruoba, Boragan, 2005. "Data Revisions Are Not Well-Behaved," CEPR Discussion Papers 5271, C.E.P.R. Discussion Papers.
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  22. Michael P. Clements & Ana Beatriz Galvao, 2009. "Forecasting US output growth using leading indicators: an appraisal using MIDAS models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 24(7), pages 1187-1206.
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Cited by:
  1. David Hendry & Michael P. Clements, 2010. "Forecasting from Mis-specified Models in the Presence of Unanticipated Location Shifts," Economics Series Working Papers 484, University of Oxford, Department of Economics.

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