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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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    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
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    Handle: RePEc:zbw:bubdp1:2020

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

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    1. Rünstler, Gerhard, 2002. "The information content of real-time output gap estimates, an application to the euro area," Working Paper Series 0182, European Central Bank.
    2. Athanasios Orphanides & Simon van Norden, 2004. "The reliability of inflation forecasts based on output gap estimates in real time," Finance and Economics Discussion Series 2004-68, Board of Governors of the Federal Reserve System (U.S.).
    3. Dean Croushore & Tom Stark, 1999. "A real-time data set for macroeconomists," Working Papers 99-4, Federal Reserve Bank of Philadelphia.
    4. Dean Croushore & Charles L. Evans, 2000. "Data revisions and the identification of monetary policy shocks," Working Paper Series WP-00-26, Federal Reserve Bank of Chicago.
    5. Marcelle Chauvet & Jeremy Piger, 2002. "Identifying business cycle turning points in real time," Working Paper 2002-27, Federal Reserve Bank of Atlanta.
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    8. Athanasios Orphanides & Simon van Norden, 2001. "The Unreliability of Output Gap Estimates in Real Time," CIRANO Working Papers 2001s-57, CIRANO.
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    19. Jens Richard Clausen & Carsten-Patrick Meier, 2005. "Did the Bundesbank Follow a Taylor Rule? An Analysis Based on Real-Time Data," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 141(II), pages 213-246, June.
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    Cited by:
    1. Matthias Mohr, 2005. "A Trend-Cycle(-Season) Filter," Econometrics 0508004, EconWPA.
    2. 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.
    3. 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.
    4. Golinelli, Roberto & Parigi, Giuseppe, 2005. "Short-Run Italian GDP Forecasting and Real-Time Data," CEPR Discussion Papers 5302, C.E.P.R. Discussion Papers.

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