The Impact of Seasonal and Price Adjustments on the Predictability of German GDP Revisions
AbstractReleases of the GDP are subject to revisions over time. This paper examines the predictability of German GDP revisions using forecast rationality tests. Previous studies of German GDP covering data until 1997 finds that revisions of real seasonally adjusted GDP are predictable. This paper uses a newly available real-time data to analyze the revisions of real seasonal adjusted GDP, of nominal unadjusted GDP, of the seasonal pattern, and of the GDP deflator for the period between 1992 and 2006. We find that the revisions of the nominal unadjusted GDP are unpredictable, but that the revisions of the price adjustments are predictable. Nevertheless, revisions of real seasonally adjusted GDP are hardly predictable and less well predictable compared to earlier studies. This lower predictability seems to be linked to the finding that revisions of seasonal adjustments are hardly predictable, too, and that their predictability decreased over time
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Bibliographic InfoPaper provided by Kiel Institute for the World Economy in its series Kiel Working Papers with number 1753.
Length: 37 pages
Date of creation: Jan 2012
Date of revision:
Real-time data; GDP revisions; noise; news; forecasting; seasonal adjustment; price adjustment;
Find related papers by JEL classification:
- C82 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Methodology for Collecting, Estimating, and Organizing Macroeconomic Data; Data Access
This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-02-08 (All new papers)
- NEP-CBA-2012-02-08 (Central Banking)
- NEP-EUR-2012-02-08 (Microeconomic European Issues)
- NEP-FOR-2012-02-08 (Forecasting)
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