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An Examination of Data Revisions in the Quarterly National Accounts

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  • Bermingham, Colin

    (Central Bank and Financial Services Authority of Ireland)

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    Abstract

    The paper presents a real time database of economic time series for Ireland. The database contains a record of what was considered official data at each point in time. The database is used to describe the properties of data revisions to the growth rates of GDP and its expenditure components in the Quarterly National Accounts. The revisions, although significant in an absolute sense, are small relative to average growth over the sample by international standards. Nonetheless, using the methodology of Mankiw et al (1984), it is found that initial estimates of GDP growth are not rational forecasts of final GDP growth. This means that there is a predictable element to the revisions. A number of rational forecasts of GDP growth are constructed using various forecasting regressions. It is found that forecasts of GDP growth estimated using the initial announcement and a measure of stock prices are more accurate reflections of true GDP growth than the initial announcements.

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    File URL: http://www.centralbank.ie/publications/documents/10RT06.pdf
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    Bibliographic Info

    Paper provided by Central Bank of Ireland in its series Research Technical Papers with number 10/RT/06.

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    Length: 21 pages
    Date of creation: Sep 2006
    Date of revision:
    Handle: RePEc:cbi:wpaper:10/rt/06

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    References

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    1. Dean Croushore & Tom Stark, 1999. "A real-time data set for macroeconomists," Working Papers 99-4, Federal Reserve Bank of Philadelphia.
    2. Athanasios Orphanides, 1998. "Monetary policy rules based on real-time data," Finance and Economics Discussion Series 1998-03, Board of Governors of the Federal Reserve System (U.S.).
    3. Jon Faust & John H. Rogers & Jonathan H. Wright, 2000. "News and noise in G-7 GDP announcements," International Finance Discussion Papers 690, Board of Governors of the Federal Reserve System (U.S.).
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    Cited by:
    1. Antonello D'Agostino & Kieran McQuinn & Derry O’Brien, 2012. "Nowcasting Irish GDP," OECD Journal: Journal of Business Cycle Measurement and Analysis, OECD Publishing,CIRET, vol. 2012(2), pages 21-31.

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