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Real-time data and business cycle analysis in Germany

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  • Döpke, Jörg
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    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. --

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    File URL: http://econstor.eu/bitstream/10419/19478/1/200411dkp.pdf
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    Bibliographic Info

    Paper provided by Deutsche Bundesbank, Research Centre in its series Discussion Paper Series 1: Economic Studies with number 2004,11.

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    Date of creation: 2004
    Date of revision:
    Handle: RePEc:zbw:bubdp1:2020

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    Related research

    Keywords: Real-time data; business cycles; output gap; VAR; inflation; Germany;

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    References

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    6. Lawrence J. Christiano & Terry J. Fitzgerald, 1999. "The Band Pass Filter," NBER Working Papers 7257, National Bureau of Economic Research, Inc.
      • Lawrence J. Christiano & Terry J. Fitzgerald, 2003. "The Band Pass Filter," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 44(2), pages 435-465, 05.
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    Cited by:
    1. Gerit Vogt, 2007. "Analyse der Prognoseeigenschaften von ifo-Konjunkturindikatoren unter Echtzeitbedingungen," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), Justus-Liebig University Giessen, Department of Statistics and Economics, vol. 227(1), pages 87-101, February.
    2. Golinelli, Roberto & Parigi, Giuseppe, 2005. "Short-Run Italian GDP Forecasting and Real-Time Data," CEPR Discussion Papers 5302, C.E.P.R. Discussion Papers.
    3. Matthias Mohr, 2005. "A Trend-Cycle(-Season) Filter," Econometrics 0508004, EconWPA.
    4. Beate Schirwitz & Christian Seiler & Klaus Wohlrabe, 2009. "Regionale Konjunkturzyklen in Deutschland – Teil II: Die Zyklendatierung," Ifo Schnelldienst, Ifo Institute for Economic Research at the University of Munich, vol. 62(14), pages 24-31, 07.

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