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An Examination of Data Revisions in the Quarterly National Accounts

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Listed author(s):
  • Bermingham, Colin

    (Central Bank and Financial Services Authority of Ireland)

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    Abstract

    The paper presents a real time database of economic time series for Ireland. The database contains a record of what was considered official data at each point in time. The database is used to describe the properties of data revisions to the growth rates of GDP and its expenditure components in the Quarterly National Accounts. The revisions, although significant in an absolute sense, are small relative to average growth over the sample by international standards. Nonetheless, using the methodology of Mankiw et al (1984), it is found that initial estimates of GDP growth are not rational forecasts of final GDP growth. This means that there is a predictable element to the revisions. A number of rational forecasts of GDP growth are constructed using various forecasting regressions. It is found that forecasts of GDP growth estimated using the initial announcement and a measure of stock prices are more accurate reflections of true GDP growth than the initial announcements.

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    File URL: http://www.centralbank.ie/publications/documents/10RT06.pdf
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    Paper provided by Central Bank of Ireland in its series Research Technical Papers with number 10/RT/06.

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    Length: 21 pages
    Date of creation: Sep 2006
    Handle: RePEc:cbi:wpaper:10/rt/06
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    • Y10 - Miscellaneous Categories - - Data: Tables and Charts - - - Data: Tables and Charts

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    1. Croushore, Dean & Stark, Tom, 2001. "A real-time data set for macroeconomists," Journal of Econometrics, Elsevier, vol. 105(1), pages 111-130, November.
    2. Athanasios Orphanides, 2001. "Monetary Policy Rules Based on Real-Time Data," American Economic Review, American Economic Association, vol. 91(4), pages 964-985, September.
    3. Faust, Jon & Rogers, John H & Wright, Jonathan H, 2005. "News and Noise in G-7 GDP Announcements," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 37(3), pages 403-419, June.
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    Cited by:

    1. Antonello D'Agostino & Kieran McQuinn & Derry O’Brien, 2012. "Nowcasting Irish GDP," OECD Journal: Journal of Business Cycle Measurement and Analysis, OECD Publishing, Centre for International Research on Economic Tendency Surveys, vol. 2012(2), pages 21-31.
    2. Creedon, Conn & O'Brien, Eoin, 2016. "Indicators for Setting the Countercyclical Capital Buffer," Economic Letters 02/EL/16, Central Bank of Ireland.

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