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Revisions to the Czech National Accounts: Properties and Predictability

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  • Marek RUSNAK

    ()
    (Czech National Bank and Charles University, Prague)

Abstract

Frequent revisions to GDP and its components cause policymakers to face considerable uncertainty about the current state of the economy. In this paper, we provide stylized facts about the magnitude of revisions to the Czech national accounts. Using data over the 2003–2012 period, we find that the revisions are rather large. Revisions to real GDP growth are on average 1.4 for the annualized quarterly growth rate and 0.7 percentage points for the annual growth rate. Revisions to other variables are even larger: the average size of the revisions ranges from 1 to 12 percentage points for annualized quarterly growth rates and from 0.5 to 4 percentage points for annual growth rates. We investigate whether the revisions could have been predicted using the information available at the time of announcement. We find evidence for in-sample predictability for most of the variables, suggesting that the first releases of these variables are not efficient predictors of the actual values. In a real-time out-of-sample exercise, however, we find that the revisions to real GDP, gross fixed capital formation, and government consumption are not predictable. Only revisions to the GDP deflator can be predicted with substantial gains relative to zero-revisions forecasts.

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Bibliographic Info

Article provided by Charles University Prague, Faculty of Social Sciences in its journal Finance a uver - Czech Journal of Economics and Finance.

Volume (Year): 63 (2013)
Issue (Month): 3 (July)
Pages: 244-261

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Handle: RePEc:fau:fauart:v:63:y:2013:i:3:p:244-261

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Keywords: national accounts; revisions; vintage data;

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References

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  1. Molodtsova, Tanya & Nikolsko-Rzhevskyy, Alex & Papell, David H., 2008. "Taylor rules with real-time data: A tale of two countries and one exchange rate," Journal of Monetary Economics, Elsevier, vol. 55(Supplemen), pages S63-S79, October.
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  5. Giannone, Domenico & Henry, Jérôme & Lalik, Magdalena & Modugno, Michele, 2010. "An Area-Wide Real-Time Database for the Euro Area," CEPR Discussion Papers 7673, C.E.P.R. Discussion Papers.
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  7. Jacobs, Jan P.A.M. & van Norden, Simon, 2011. "Modeling data revisions: Measurement error and dynamics of "true" values," Journal of Econometrics, Elsevier, vol. 161(2), pages 101-109, April.
  8. Adriana Z. Fernandez & Evan F. Koenig & Alex Nikolsko-Rzhevskyy, 2011. "A real-time historical database for the OECD," Globalization and Monetary Policy Institute Working Paper 96, Federal Reserve Bank of Dallas.
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  13. George Kapetanios & Tony Yates, 2010. "Estimating time variation in measurement error from data revisions: an application to backcasting and forecasting in dynamic models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(5), pages 869-893.
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Cited by:
  1. Robert Ambrisko & Vitezslav Augusta & Jan Babecky & Michal Franta & Dana Hajkova & Petr Kral & Jan Libich & Pavla Netusilova & Milan Rikovsky & Jakub Rysanek & Pavel Soukup & Petr Stehlik & Vilem Vale, 2013. "Macroeconomic Effects of Fiscal Policy," Occasional Publications - Edited Volumes, Czech National Bank, Research Department, edition 2, volume 11, number rb11/2 edited by Jan Babecky & Kamil Galuscak, August.
  2. Kamil Galuscak & Adam Gersl & Marcela Gronychova & Petr Hlavac & Petr Jakubik & Lubos Komarek & Zlatuse Komarkova & Tomas Konecny & Jakub Seidler, 2014. "Stress-Testing Analyses of the Czech Financial System," Occasional Publications - Edited Volumes, Czech National Bank, Research Department, edition 1, volume 12, number rb12/1 edited by Jan Babecky & Roman Horvath, August.
  3. Marek Rusnak, 2013. "Nowcasting Czech GDP in Real Time," Working Papers 2013/06, Czech National Bank, Research Department.

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