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Real-time data and business cycle analysis in Germany

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  • Döpke, Jörg

Abstract

This paper examines the consequences of using "real-time" data for business cycle analysis in Germany based on a novel data set covering quarterly real output data from 1968 to 2001. Real-time output gaps are calculated. They differ considerably from their counterparts based on the most recent data. Moreover, they are not rational forecasts of the final series. The consequences of using real-time data for inflation forecasts, the dynamic interaction of output gaps and inflation, and stylised facts of the business cycle are also addressed. The results suggest that revisions of data and estimates can seriously distort research and policy implications.

Suggested Citation

  • Döpke, Jörg, 2004. "Real-time data and business cycle analysis in Germany," Discussion Paper Series 1: Economic Studies 2004,11, Deutsche Bundesbank.
    • Handle: RePEc:zbw:bubdp1:2020
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    References listed on IDEAS

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    Citations

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    Cited by:

    1. Dopke, Jorg & Fritsche, Ulrich, 2006. "When do forecasters disagree? An assessment of German growth and inflation forecast dispersion," International Journal of Forecasting, Elsevier, vol. 22(1), pages 125-135.
    2. Ince, Onur & Papell, David H., 2013. "The (un)reliability of real-time output gap estimates with revised data," Economic Modelling, Elsevier, vol. 33(C), pages 713-721.
    3. Mohr, Matthias, 2005. "A trend-cycle(-season) filter," Working Paper Series 499, European Central Bank.
    4. Oppenländer Karl Heinrich, 2005. "Hat sich das deutsche Konjunkturmuster geändert? / Is there a Change in the Pattern of German Business Cycle?," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 225(3), pages 374-381, June.
    5. Eleftheriou, Maria, 2009. "Monetary policy in Germany: A cointegration analysis on the relevance of interest rate rules," Economic Modelling, Elsevier, vol. 26(5), pages 946-960, September.
    6. Cláudia Duarte & Fátima Cardoso, 2009. "Data Revisions: The Case of Portuguese Exports and Imports," Economic Bulletin and Financial Stability Report Articles and Banco de Portugal Economic Studies, Banco de Portugal, Economics and Research Department.
    7. repec:jns:jbstat:v:227:y:2007:i:1:p:87-101 is not listed on IDEAS
    8. Parigi, Giuseppe & Golinelli, Roberto, 2005. "Short-Run Italian GDP Forecasting and Real-Time Data," CEPR Discussion Papers 5302, C.E.P.R. Discussion Papers.
    9. Beate Schirwitz & Christian Seiler & Klaus Wohlrabe, 2009. "Regional business cycles in Germany - the dating problem," ifo Schnelldienst, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 62(14), pages 24-31, July.

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    More about this item

    Keywords

    Real-time data; business cycles; output gap; VAR; inflation; Germany;
    All these keywords.

    JEL classification:

    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods

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