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News and noise in G-7 GDP announcements

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Author Info
Jon Faust
John H. Rogers
Jonathan H. Wright

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Abstract

Revisions to GDP announcements are known to be quite large in all G-7 countries: many revisions in quarterly GDP growth are over a full percentage point at an annualized rate. In this paper, we examine the predictability of these data revisions. Previous work suggests that U.S. GDP revisions are largely unpredictable, as would be the case if the revisions reflect news not available at the time that the preliminary number is produced. We find that the degree of predictability varies throughout the G-7. For the U.S., the revisions are very slightly predictable, but for Italy, Japan and the UK, about half the variability of subsequent revisions can be accounted for by information available at the time of the preliminary announcement. For these countries, it appears that revisions reflect, to a significant degree, the removal of noise from the preliminary numbers, rather than the arrival of news.

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Paper provided by Board of Governors of the Federal Reserve System (U.S.) in its series International Finance Discussion Papers with number 690.

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Date of creation: 2000
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Handle: RePEc:fip:fedgif:690

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Related research
Keywords: Gross domestic product ; Group of Seven countries;

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  3. Ross D. Milbourne & Gregor W. Smith, 1989. "How Informative Are Preliminary Announcements of the Money Stock in Canada?," Canadian Journal of Economics, Canadian Economics Association, vol. 22(3), pages 595-606, August. [Downloadable!] (restricted)
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  4. de Jong, Piet, 1987. "Rational Economic Data Revisions," Journal of Business & Economic Statistics, American Statistical Association, vol. 5(4), pages 539-48, October.
  5. 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.). [Downloadable!]
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  6. Howrey, E Philip, 1984. "Data Revision, Reconstruction, and Prediction: An Application to Inventory Investment," The Review of Economics and Statistics, MIT Press, vol. 66(3), pages 386-93, August. [Downloadable!] (restricted)
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  9. Croushore, Dean & Stark, Tom, 2001. "A real-time data set for macroeconomists," Journal of Econometrics, Elsevier, vol. 105(1), pages 111-130, November. [Downloadable!] (restricted)
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  10. John C. Robertson & Ellis W. Tallman, 1998. "Data vintages and measuring forecast model performance," Economic Review, Federal Reserve Bank of Atlanta, issue Q 4, pages 4-20. [Downloadable!]
  11. 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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  12. N. Gregory Mankiw & Matthew D. Shapiro, 1986. "News or Noise? An Analysis of GNP Revisions," NBER Working Papers 1939, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  13. Howrey, E Philip, 1978. "The Use of Preliminary Data in Econometric Forecasting," The Review of Economics and Statistics, MIT Press, vol. 60(2), pages 193-200, May. [Downloadable!] (restricted)
  14. Diebold, Francis X & Mariano, Roberto S, 1995. "Comparing Predictive Accuracy," Journal of Business & Economic Statistics, American Statistical Association, vol. 13(3), pages 253-63, July.
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  15. Charles L. Evans, 1998. "Real-time Taylor rules and the federal funds futures market," Economic Perspectives, Federal Reserve Bank of Chicago, issue Q III, pages 44-55. [Downloadable!]
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