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The Impact of Seasonal and Price Adjustments on the Predictability of German GDP Revisions

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  • Jens Boysen-Hogrefe
  • Stefan Neuwirth

Abstract

Releases 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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File URL: https://www.ifw-members.ifw-kiel.de/publications/the-impact-of-seasonal-and-price-adjustments-on-the-predictability-of-german-gdp-revisions-1/KWP_1753_pdf.pdf
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Bibliographic Info

Paper provided by Kiel Institute for the World Economy in its series Kiel Working Papers with number 1753.

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Length: 37 pages
Date of creation: Jan 2012
Date of revision:
Handle: RePEc:kie:kieliw:1753

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Related research

Keywords: Real-time data; GDP revisions; noise; news; forecasting; seasonal adjustment; price adjustment;

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  1. Bernanke, Ben S. & Boivin, Jean, 2003. "Monetary policy in a data-rich environment," Journal of Monetary Economics, Elsevier, Elsevier, vol. 50(3), pages 525-546, April.
  2. Jan Jacobs & Jan-Egbert Sturm, 2004. "Do Ifo Indicators Help Explain Revisions in German Industrial Production?," CESifo Working Paper Series 1205, CESifo Group Munich.
  3. Bennett T. McCallum, 1982. "Macroeconomics after a decade of rational expectations : some critical issues," Economic Review, Federal Reserve Bank of Richmond, Federal Reserve Bank of Richmond, issue Nov, pages 3-12.
  4. Olivier Roodenburg & Ard H.J. den Reijer, 2006. "Dutch GDP Data Revisions: Are They Predictable and Where Do They Come from?," Applied Economics Quarterly (formerly: Konjunkturpolitik), Duncker & Humblot, Berlin, Duncker & Humblot, Berlin, vol. 52(4), pages 337-356.
  5. Kavajecz, Kenneth & Collins, Sean, 1995. "Rationality of Preliminary Money Stock Estimates," The Review of Economics and Statistics, MIT Press, vol. 77(1), pages 32-41, February.
  6. Swanson, N.R. & van Dijk, D.J.C., 2001. "Are statistical reporting agencies getting it right? Data rationality and business cycle asymmetry," Econometric Institute Research Papers EI 2001-28, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  7. Gerberding, Christina & Seitz, Franz & Worms, Andreas, 2005. "How the Bundesbank really conducted monetary policy," The North American Journal of Economics and Finance, Elsevier, Elsevier, vol. 16(3), pages 277-292, December.
  8. Knetsch, Thomas A. & Reimers, Hans-Eggert, 2006. "How to treat benchmark revisions? The case of German production and orders statistics," Discussion Paper Series 1: Economic Studies 2006,38, Deutsche Bundesbank, Research Centre.
  9. Dennis Fixler & Bruce Grimm, 2006. "GDP Estimates: Rationality Tests and Turning Point Performance," Journal of Productivity Analysis, Springer, Springer, vol. 25(3), pages 213-229, 06.
  10. Orphanides, Athanasios, 2003. "Monetary policy evaluation with noisy information," Journal of Monetary Economics, Elsevier, Elsevier, vol. 50(3), pages 605-631, April.
  11. Troy D. Matheson & James Mitchell & Brian Silverstone, 2010. "Nowcasting and predicting data revisions using panel survey data," Journal of Forecasting, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 29(3), pages 313-330.
  12. Jens Hogrefe, 2008. "Forecasting data revisions of GDP: a mixed frequency approach," AStA Advances in Statistical Analysis, Springer, Springer, vol. 92(3), pages 271-296, August.
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