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First Announcements and Real Economic Activity

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  • Clements, Michael P.

    (University of Warwick)

  • Galvão, Ana Beatriz

    (Queen Mary University of London)

Abstract

The recent literature suggests that first announcements of real output growth in the US have predictive power for the future course of the economy. We show that this need not point to a behavioural relationship, whereby agents respond to the announcement, but may instead simply be a by-product of the data revision process. Initial estimates are subsequently subject to a number of rounds of revisions: the nature of these revisions is shown to be key in determining any apparent relationship between first announcements and the future course of the economy.

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File URL: http://www2.warwick.ac.uk/fac/soc/economics/research/workingpapers/2009/twerp_885.pdf
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Bibliographic Info

Paper provided by University of Warwick, Department of Economics in its series The Warwick Economics Research Paper Series (TWERPS) with number 885.

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Length: 33 pages
Date of creation: 2009
Date of revision:
Handle: RePEc:wrk:warwec:885

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Keywords: Announcements ; real activity ; data measurement ; revisions;

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References

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  1. 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.
  2. S. Boragan Aruoba, 2008. "Data Revisions Are Not Well Behaved," Journal of Money, Credit and Banking, Blackwell Publishing, Blackwell Publishing, vol. 40(2-3), pages 319-340, 03.
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  9. Pierre Siklos, 2006. "What Can We Learn from Comprehensive Data Revisions for Forecasting Inflation: Some US Evidence," Working Papers, Wilfrid Laurier University, Department of Economics eg0049, Wilfrid Laurier University, Department of Economics, revised 2006.
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  20. Rodriguez Mora, Jose V. & Schulstad, Paul, 2007. "The effect of GNP announcements on fluctuations of GNP growth," European Economic Review, Elsevier, Elsevier, vol. 51(8), pages 1922-1940, November.
  21. David E. Runkle, 1998. "Revisionist history: how data revisions distort economic policy research," Quarterly Review, Federal Reserve Bank of Minneapolis, Federal Reserve Bank of Minneapolis, issue Fall, pages 3-12.
  22. Evan F. Koenig & Sheila Dolmas & Jeremy Piger, 2000. "The use and abuse of "real-time" data in economic forecasting," Working Papers, Federal Reserve Bank of Dallas 0004, Federal Reserve Bank of Dallas.
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Cited by:
  1. David Hendry & Michael P. Clements, 2010. "Forecasting from Mis-specified Models in the Presence of Unanticipated Location Shifts," Economics Series Working Papers 484, University of Oxford, Department of Economics.

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