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The role of data revisions and disagreement in professional forecasts

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  • Eva A. Arnold

Abstract

This study has two primary objectives: 1) To investigate whether official data releases of macroeconomic indicators are systematically revised 2) To evaluate the accuracy and disagreement of professional forecasters with respect to initial releases and final values. The analyses are applied to individual forecasts and real-time releases using a unique data set regarding 52 macroeconomic indicators for the US, the Eurozone, and Germany for the period of 1999-2010. The empirical analysis of data revisions shows that some indicators are considerably and systematically revised. Forecasters tend to account for systematic revisions and try to predict final values for certain indicators. For others, forecasters appear to be targeting initial releases, even though these indicators are systematically revised. In the latter case, forecasters use information inefficiently. Forecasters’ disagreement regarding fundamentals is higher during domestic recessions and when the national stock market is volatile.Keywords: Rational expectations, macroeconomic indicators, disagreement, survey analysis, real-time data JEL classification: D81, D84, E17

Suggested Citation

  • Eva A. Arnold, 2016. "The role of data revisions and disagreement in professional forecasts," OECD Journal: Journal of Business Cycle Measurement and Analysis, OECD Publishing, Centre for International Research on Economic Tendency Surveys, vol. 2015(2), pages 1-39.
  • Handle: RePEc:oec:stdkab:5jlz9hhp5cg3
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    File URL: http://dx.doi.org/10.1787/jbcma-2015-5jlz9hhp5cg3
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    JEL classification:

    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
    • D84 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Expectations; Speculations
    • E17 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - Forecasting and Simulation: Models and Applications

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