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Let's Get "Real" About Using Economic Data

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Author Info
Peter Christoffersen (McGill University and CIRANO)
Eric Ghysels (University of North Carolina and CIRANO)
Norman Swanson (Texas A & M University)

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Abstract

Breeden, Gibbons and Litzenberger (1989), and Lamont (1999), use "economic tracking portfolios" to forecast macroeconomic data. Tracking portfolios are constructed to reflect market expectations and reveal the impact of news. However, these papers, as well as many related studies which examine the market impact of macroeconomic news, use "currently available" macroeconomic data. The combination of various different "vintages" of economic data has several important and undesirable consequences, particularly when the timing of information and its impact on financial markets is the focus of investigation. We therefore use a real-time macroeconomic data set to accurately mimic the accumulation of macroeconomic information in real time. We attempt to shed new light on the methodology used to construct tracking portfolios, as well as on the impact of macroeconomic news on financial markets. In addition, we address a number of related questions, including: Does the data revision process itself have an impact on financial markets? Do market participants: (i) care about "final" releases of macroeconomic variables; or (ii) form their decisions based on preliminary data; or (iii) instead form their decisions by using vintages of data which they assume correspond to those vintages used by public policy decision-makers?

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Paper provided by Econometric Society in its series Econometric Society World Congress 2000 Contributed Papers with number 1004.

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Date of creation: 01 Aug 2000
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Handle: RePEc:ecm:wc2000:1004

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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Mitchell, Mark L & Mulherin, J Harold, 1994. " The Impact of Public Information on the Stock Market," Journal of Finance, American Finance Association, vol. 49(3), pages 923-50, July. [Downloadable!] (restricted)
  2. Myles Callan & Eric Ghysels & Norman R. Swanson, 1998. "Monetary Policy Rules with Model and Data Uncertainty," CIRANO Working Papers 98s-40, CIRANO. [Downloadable!]
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  3. G. William Schwert, 1990. "Stock Returns and Real Activity: A Century of Evidence," NBER Working Papers 3296, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  4. Fair, Ray C & Shiller, Robert J, 1990. "Comparing Information in Forecasts from Econometric Models," American Economic Review, American Economic Association, vol. 80(3), pages 375-89, June. [Downloadable!] (restricted)
  5. Pierce, David A., 1981. "Sources of error in economic time series," Journal of Econometrics, Elsevier, vol. 17(3), pages 305-321, December. [Downloadable!] (restricted)
  6. Dean Croushore & Tom Stark, 1999. "A real-time data set for macroeconomists," Working Papers 99-4, Federal Reserve Bank of Philadelphia. [Downloadable!]
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  7. Douglas K. Pearce & V. Vance Roley, 1985. "Stock Prices and Economic News," NBER Working Papers 1296, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  8. Fama, Eugene F. & French, Kenneth R., 1989. "Business conditions and expected returns on stocks and bonds," Journal of Financial Economics, Elsevier, vol. 25(1), pages 23-49, November. [Downloadable!] (restricted)
  9. Francis X. Diebold & Glenn D. Rudebusch, 1989. "Forecasting output with the composite leading index: an ex ante analysis," Finance and Economics Discussion Series 90, Board of Governors of the Federal Reserve System (U.S.).
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  12. Jones, Charles M. & Lamont, Owen & Lumsdaine, Robin L., 1998. "Macroeconomic news and bond market volatility," Journal of Financial Economics, Elsevier, vol. 47(3), pages 315-337, March. [Downloadable!] (restricted)
  13. Whitney K. Newey & Kenneth D. West, 1986. "A Simple, Positive Semi-Definite, Heteroskedasticity and AutocorrelationConsistent Covariance Matrix," NBER Technical Working Papers 0055, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  14. Breeden, Douglas T & Gibbons, Michael R & Litzenberger, Robert H, 1989. " Empirical Tests of the Consumption-Oriented CAPM," Journal of Finance, American Finance Association, vol. 44(2), pages 231-62, June. [Downloadable!] (restricted)
  15. Norman R. Swanson & Halbert White, 1995. "A Model Selection Approach to Real-Time Macroeconomic Forecasting Using Linear Models and Artificial Neural Networks," Macroeconomics 9503004, EconWPA. [Downloadable!]
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  16. Schwert, G William, 1981. "The Adjustment of Stock Prices to Information about Inflation," Journal of Finance, American Finance Association, vol. 36(1), pages 15-29, March. [Downloadable!] (restricted)
  17. Keane, Michael & Runkle, David E, 1995. "Testing the Rationality of Price Forecasts: Reply," American Economic Review, American Economic Association, vol. 85(1), pages 290, March.
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. John Galbraith & Serguei Zernov & Victoria Zinde-Walsh, 2001. "Conditional Quantiles of Volatility in Equity Index and Foreign Exchange Data," CIRANO Working Papers 2001s-61, CIRANO. [Downloadable!]
  2. Ngo Van Long & Koji Shimomura, 2002. "Relative Wealth, Status Seeking, and Catching Up," CIRANO Working Papers 2002s-09, CIRANO. [Downloadable!]
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  3. Wolfgang Eggert & Laszlo Goerke, . "Fiscal Policy, Economic Integration and Unemployment," EPRU Working Paper Series 02-05, Economic Policy Research Unit (EPRU), University of Copenhagen. Department of Economics. [Downloadable!]
    Other versions:
  4. Richard G. Anderson, 2006. "Replicability, real-time data, and the science of economic research: FRED, ALFRED, and VDC," Review, Federal Reserve Bank of St. Louis, issue Jan, pages 81-93. [Downloadable!]
  5. Dean Croushore, 2008. "Frontiers of real-time data analysis," Working Papers 08-4, Federal Reserve Bank of Philadelphia. [Downloadable!]
  6. Wolfgang Eggert & Martin Kolmar, . "Information Sharing, Multiple Nash Equilibria, and Asymmetric Capital-Tax Competition," EPRU Working Paper Series 02-01, Economic Policy Research Unit (EPRU), University of Copenhagen. Department of Economics. [Downloadable!]
  7. Bernard Sinclair-Desgagné, 2001. "Incentives in Common Agency," CIRANO Working Papers 2001s-66, CIRANO. [Downloadable!]
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  8. Wolfgang Eggert & Martin Kolmar, . "Contests with Size Effects," EPRU Working Paper Series 02-04, Economic Policy Research Unit (EPRU), University of Copenhagen. Department of Economics. [Downloadable!]
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  9. Julie Doonan & Paul Lanoie & Benoit Laplante, 2002. "Environmental Performance of Canadian Pulp and Paper Plants: Why Some Do Well and Others Do Not ?," CIRANO Working Papers 2002s-24, CIRANO. [Downloadable!]
  10. Jon Faust & John H. Rogers & Jonathan H. Wright, 2001. "Exchange rate forecasting: the errors we've really made," International Finance Discussion Papers 714, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    Other versions:
  11. Richard Lajeunesse & Paul Lanoie & Michel Patry, 2001. "Environmental Regulation and Productivity: New Findings on the Porter Analysis," CIRANO Working Papers 2001s-53, CIRANO. [Downloadable!]
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