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First Announcements and Real Economic Activity

Author

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  • Clements, Michael P.

    (University of Warwick)

  • Galvão, Ana Beatriz

    (Queen Mary University of London)

Abstract

The recent literature suggests that first announcements of real output growth in the US have predictive power for the future course of the economy. We show that this need not point to a behavioural relationship, whereby agents respond to the announcement, but may instead simply be a by-product of the data revision process. Initial estimates are subsequently subject to a number of rounds of revisions: the nature of these revisions is shown to be key in determining any apparent relationship between first announcements and the future course of the economy.

Suggested Citation

  • Clements, Michael P. & Galvão, Ana Beatriz, 2009. "First Announcements and Real Economic Activity," The Warwick Economics Research Paper Series (TWERPS) 885, University of Warwick, Department of Economics.
  • Handle: RePEc:wrk:warwec:885
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    File URL: https://www2.warwick.ac.uk/fac/soc/economics/research/workingpapers/2009/twerp_885.pdf
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    References listed on IDEAS

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    Cited by:

    1. Francisco Castro & Javier J. Pérez & Marta Rodríguez‐Vives, 2013. "Fiscal Data Revisions in Europe," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 45(6), pages 1187-1209, September.
    2. Riccardo M. Masolo & Alessia Paccagnini, 2015. "Identifying Noise Shocks: a VAR with Data Revisions," Discussion Papers 1510, Centre for Macroeconomics (CFM).
    3. Michael P. Clements, 2014. "Anticipating Early Data Revisions to US GDP and the Effects of Releases on Equity Markets," ICMA Centre Discussion Papers in Finance icma-dp2014-06, Henley Business School, Reading University.
    4. David Hendry & Michael P. Clements, 2010. "Forecasting from Mis-specified Models in the Presence of Unanticipated Location Shifts," Economics Series Working Papers 484, University of Oxford, Department of Economics.
    5. repec:eee:eneeco:v:66:y:2017:i:c:p:337-348 is not listed on IDEAS

    More about this item

    Keywords

    Announcements ; real activity ; data measurement ; revisions;

    JEL classification:

    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection

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