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Do benchmark revisions affect the consumption-to-output and investment-to-output ratios in Germany?

Author

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  • Thomas A. Knetsch
  • Hans-Eggert Reimers

Abstract

The balanced growth and stochastic growth theory implies stable consumption-to-output and investment-to-output ratios. It is tested by cointegration techniques for three different German data vintages. Systems cointegration tests are helpful in revealing inconsistencies across vintages. Differencing and rebasing, often used to adjust for benchmark revisions, are generally not sufficient to ensure consistent real-time macroeconomic data. Vintage transformation functions estimated by cointegrating regressions are more flexible. Empirically, the cointegrating property between consumption and output, as well as between investment and output, is often found, whereas the one-to-one relationship is mostly rejected. Moreover, the linear transformation function is helpful in describing the relation between two older final vintages. This function seems to be insufficient if the most recent data collection framework is involved.

Suggested Citation

  • Thomas A. Knetsch & Hans-Eggert Reimers, 2010. "Do benchmark revisions affect the consumption-to-output and investment-to-output ratios in Germany?," OECD Journal: Journal of Business Cycle Measurement and Analysis, OECD Publishing, Centre for International Research on Economic Tendency Surveys, vol. 2010(1), pages 1-14.
    • Handle: RePEc:oec:stdkab:5kmk0bhqqjtf
    DOI: 10.1787/jbcma-2010-5kmk0bhqqjtf
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    Cited by:

    1. Dieter Brümmerhoff & Michael Grömling, 2013. "Ökonomische Auswirkungen von VGR-Revisionen," AStA Wirtschafts- und Sozialstatistisches Archiv, Springer;Deutsche Statistische Gesellschaft - German Statistical Society, vol. 6(3), pages 133-148, March.

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