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Let's Get "Real"" about Using Economic Data"

  • Peter Christoffersen
  • Eric Ghysels
  • Norman R. Swanson

We show that using data which are properly available in real time when assessing the sensitivity of asset prices to economic news leads to different empirical findings that when data availability and timing issues are ignored. We do this by focusing on a particular example, namely Chen, Roll and Ross (1986), and examine whether innovations to economic variables can be viewed as risks that are rewarded in asset markets. Our findings support the view that data uncertainty is sufficiently prevalent to warrant careful use of real-time data when forming real-time news measures, and in general when undertaking empirical financial investigations involving macroeconomic data. Nous démontrons que l'utilisation de données qui sont disponibles en temps réel pour établir la sensibilité des prix d'actifs aux nouvelles économiques mène à des résultats empiriques différents de ceux obtenus lorsque la disponibilité des données et les considérations temporelles ne sont pas prises en compte. Pour ce faire, nous nous concentrons sur un exemple en particulier, c'est-à-dire Chen, Roll et Ross (1986), et nous regardons si les innovations aux variables économiques peuvent être perçues comme étant des risques qui sont récompensés dans les marchés des actifs. Nos résultats entérinent la présomption que l'incertitude des données est suffisamment prévalente pour assurer une utilisation prudente des données en temps réel lors de l'établissement de mesures de nouvelles en temps réel, et en général lorsqu'on entreprend des enquêtes financières empiriques impliquant des données macroéconomiques.

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Paper provided by CIRANO in its series CIRANO Working Papers with number 2001s-44.

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Length: 25 pages
Date of creation: 01 Jul 2001
Date of revision:
Handle: RePEc:cir:cirwor:2001s-44
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  1. Jones, Charles M. & Lamont, Owen & Lumsdaine, Robin L., 1998. "Macroeconomic news and bond market volatility," Journal of Financial Economics, Elsevier, vol. 47(3), pages 315-337, March.
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  17. Chen, Nai-Fu & Roll, Richard & Ross, Stephen A, 1986. "Economic Forces and the Stock Market," The Journal of Business, University of Chicago Press, vol. 59(3), pages 383-403, July.
  18. Fama, Eugene F & MacBeth, James D, 1973. "Risk, Return, and Equilibrium: Empirical Tests," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 607-36, May-June.
  19. Fair, Ray C & Shiller, Robert J, 1990. "Comparing Information in Forecasts from Econometric Models," American Economic Review, American Economic Association, vol. 80(3), pages 375-89, June.
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