Let's get "real" about using economic data
AbstractWe show that using data which are properly available in real time when assessing the sensitivity of asset prices to economic news leads to different empirical findings that when data availability and timing issues are ignored. We do this by focusing on a particular example, namely Chen, Roll and Ross (1986), and examine whether innovations to economic variables can be viewed as risks that are rewarded in asset markets. Our findings support the view that data uncertainty is sufficiently prevalent to warrant careful use of real-time data when forming real-time news measures, and in general when undertaking empirical financial investigations involving macroeconomic data. Nous dÃ©montrons que l'utilisation de donnÃ©es qui sont disponibles en temps rÃ©el pour Ã©tablir la sensibilitÃ© des prix d'actifs aux nouvelles Ã©conomiques mÃ¨ne Ã des rÃ©sultats empiriques diffÃ©rents de ceux obtenus lorsque la disponibilitÃ© des donnÃ©es et les considÃ©rations temporelles ne sont pas prises en compte. Pour ce faire, nous nous concentrons sur un exemple en particulier, c'est-Ã -dire Chen, Roll et Ross (1986), et nous regardons si les innovations aux variables Ã©conomiques peuvent Ãªtre perÃ§ues comme Ã©tant des risques qui sont rÃ©compensÃ©s dans les marchÃ©s des actifs. Nos rÃ©sultats entÃ©rinent la prÃ©somption que l'incertitude des donnÃ©es est suffisamment prÃ©valente pour assurer une utilisation prudente des donnÃ©es en temps rÃ©el lors de l'Ã©tablissement de mesures de nouvelles en temps rÃ©el, et en gÃ©nÃ©ral lorsqu'on entreprend des enquÃªtes financiÃ¨res empiriques impliquant des donnÃ©es macroÃ©conomiques.
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Empirical Finance.
Volume (Year): 9 (2002)
Issue (Month): 3 (August)
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Web page: http://www.elsevier.com/locate/jempfin
Other versions of this item:
- Peter Christoffersen & Eric Ghysels & Norman R. Swanson, 2001. "Let's Get "Real" about Using Economic Data," CIRANO Working Papers 2001s-44, CIRANO.
- Peter Christoffersen & Eric Ghysels & Norman R. Swanson, . "Let's Get "Real" about Using Economic Data," EPRU Working Paper Series 01-15, Economic Policy Research Unit (EPRU), University of Copenhagen. Department of Economics.
- Peter Christoffersen & Eric Ghysels & Norman Swanson, 2000. "Let's Get "Real" About Using Economic Data," Econometric Society World Congress 2000 Contributed Papers 1004, Econometric Society.
- E17 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - Forecasting and Simulation: Models and Applications
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
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