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Real-time data and business cycle analysis in Germany

Listed author(s):
  • Döpke, Jörg
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    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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    File URL: https://www.econstor.eu/bitstream/10419/19478/1/200411dkp.pdf
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    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
    Handle: RePEc:zbw:bubdp1:2020
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    18. Karen E. Dynan & Douglas W. Elmendorf, 2001. "Do provisional estimates of output miss economic turning points?," Finance and Economics Discussion Series 2001-52, Board of Governors of the Federal Reserve System (U.S.).
    19. Tom Stark & Dean Croushore, 2001. "Forecasting with a real-time data set for macroeconomists," Working Papers 01-10, Federal Reserve Bank of Philadelphia.
    20. 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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    23. Lawrence J. Christiano & Terry J. Fitzgerald, 2003. "The Band Pass Filter," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 44(2), pages 435-465, 05.
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    25. Alasdair Scott, 2000. "Stylised facts from output gap measures," Reserve Bank of New Zealand Discussion Paper Series DP2000/07, Reserve Bank of New Zealand.
    26. Francis X. Diebold & Jose A. Lopez, 1995. "Forecast evaluation and combination," Research Paper 9525, Federal Reserve Bank of New York.
    27. Kuttner, Kenneth N, 1994. "Estimating Potential Output as a Latent Variable," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(3), pages 361-368, July.
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    30. Mohr, Matthias, 2001. "Ein disaggregierter Ansatz zur Berechnung konjunkturbereinigter Budgetsalden für Deutschland: Methoden und Ergebnisse," Discussion Paper Series 1: Economic Studies 2001,13, Deutsche Bundesbank, Research Centre.
    31. Knetsch, Thomas A., 2004. "The Inventory Cycle of the German Economy," Discussion Paper Series 1: Economic Studies 2004,09, Deutsche Bundesbank, Research Centre.
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