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A Real-Time Data Set for Macroeconomists: Does the Data Vintage Matter?

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Cited by:

  1. Pierdzioch, Christian & Döpke, Jörg & Hartmann, Daniel, 2008. "Forecasting stock market volatility with macroeconomic variables in real time," Journal of Economics and Business, Elsevier, pages 256-276.
  2. João Valle e Azevedo & Ana Pereira, 2008. "Approximating and Forecasting Macroeconomic Signals in Real-Time," Working Papers w200819, Banco de Portugal, Economics and Research Department.
  3. Carlo Altavilla & Matteo Ciccarelli, 2011. "Monetary Policy Analysis in Real-Time. Vintage combination from a real-time dataset," CSEF Working Papers 274, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
  4. Vivian, Andrew & Wohar, Mark E., 2013. "The output gap and stock returns: Do cyclical fluctuations predict portfolio returns?," International Review of Financial Analysis, Elsevier, vol. 26(C), pages 40-50.
  5. Croushore, Dean & Evans, Charles L., 2006. "Data revisions and the identification of monetary policy shocks," Journal of Monetary Economics, Elsevier, vol. 53(6), pages 1135-1160, September.
  6. Domenico Giannone & Lucrezia Reichlin & Luca Sala, 2005. "Monetary Policy in Real Time," NBER Chapters,in: NBER Macroeconomics Annual 2004, Volume 19, pages 161-224 National Bureau of Economic Research, Inc.
  7. Clark, Todd & McCracken, Michael, 2013. "Advances in Forecast Evaluation," Handbook of Economic Forecasting, Elsevier.
  8. Lise Pichette & Marie-Noëlle Robitaille, 2017. "Assessing the Business Outlook Survey Indicator Using Real-Time Data," Discussion Papers 17-5, Bank of Canada.
  9. Gomes, S. & Jacquinot, P. & Pisani, M., 2016. "Fiscal devaluation in the euro area: A model-based analysis," Economic Modelling, Elsevier, pages 58-70.
  10. Ales Bulir & Jaromir Hurnik & Katerina Smidkova, 2013. "Inflation Reports and Models: How Well Do Central Banks Really Write?," Working Papers 2013/03, Czech National Bank, Research Department.
  11. Andrew T. Levin & Alexei Onatski & John Williams & Noah M. Williams, 2006. "Monetary Policy Under Uncertainty in Micro-Founded Macroeconometric Models," NBER Chapters,in: NBER Macroeconomics Annual 2005, Volume 20, pages 229-312 National Bureau of Economic Research, Inc.
  12. Ronald Indergand & Stefan Leist, 2014. "A Real-Time Data Set for Switzerland," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 150(IV), pages 331-352, December.
  13. Massimiliano Marcellino, 2008. "A linear benchmark for forecasting GDP growth and inflation?," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(4), pages 305-340.
  14. Stark, Tom & Croushore, Dean, 2002. "Forecasting with a real-time data set for macroeconomists," Journal of Macroeconomics, Elsevier, pages 507-531.
  15. Mandler, Martin, 2007. "Decomposing Federal Funds Rate forecast uncertainty using real-time data," MPRA Paper 13498, University Library of Munich, Germany, revised Jan 2009.
  16. Tierney, Heather L.R., 2011. "Real-time data revisions and the PCE measure of inflation," Economic Modelling, Elsevier, vol. 28(4), pages 1763-1773, July.
  17. John Galbraith & Simon van Norden, 2009. "Calibration and Resolution Diagnostics for Bank of England Density Forecasts," CIRANO Working Papers 2009s-36, CIRANO.
  18. Marcelle Chauvet & James D. Hamilton, 2005. "Dating Business Cycle Turning Points," NBER Working Papers 11422, National Bureau of Economic Research, Inc.
  19. Aslanidis, Nektarios & Cipollini, Andrea, 2010. "Leading indicator properties of US high-yield credit spreads," Journal of Macroeconomics, Elsevier, pages 145-156.
  20. Aastveit, Knut Are & Trovik, Tørres, 2014. "Estimating the output gap in real time: A factor model approach," The Quarterly Review of Economics and Finance, Elsevier, vol. 54(2), pages 180-193.
  21. Aslanidis, Nektarios & Cipollini, Andrea, 2010. "Leading indicator properties of US high-yield credit spreads," Journal of Macroeconomics, Elsevier, pages 145-156.
  22. Clements, Michael P & Galvão, Ana Beatriz, 2006. "Macroeconomic Forecasting with Mixed Frequency Data : Forecasting US output growth and inflation," The Warwick Economics Research Paper Series (TWERPS) 773, University of Warwick, Department of Economics.
  23. Leonard I. Nakamura & Tom Stark, 2005. "Benchmark revisions and the U.S. personal saving rate," Working Papers 05-6, Federal Reserve Bank of Philadelphia.
  24. John W. Galbraith & Greg Tkacz, 2007. "Electronic Transactions as High-Frequency Indicators of Economic Activity," Staff Working Papers 07-58, Bank of Canada.
  25. Alessandra Amendola & Vincenzo Candila & Antonio Scognamillo, 2017. "On the influence of US monetary policy on crude oil price volatility," Empirical Economics, Springer, pages 155-178.
  26. Graham Elliott & Allan Timmermann, 2016. "Economic Forecasting," Economics Books, Princeton University Press, edition 1, number 10740.
  27. Zijun Wang, 2010. "Directed graphs, information structure and forecast combinations: an empirical examination of US unemployment rates," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 29(4), pages 353-366.
  28. Michael Pedersen, 2013. "Extracting GDP signals from the monthly indicator of economic activity: Evidence from Chilean real-time data," OECD Journal: Journal of Business Cycle Measurement and Analysis, OECD Publishing, Centre for International Research on Economic Tendency Surveys, pages 1-16.
  29. Kizys, Renatas & Pierdzioch, Christian, 2011. "The changing sensitivity of realized portfolio betas to U.S. output growth: An analysis based on real-time data," Journal of Economics and Business, Elsevier, pages 168-186.
  30. Yunus Aksoy & Kurmas Akdogan, 2006. "Exchange Rates and Fundamentals: Is there a Role for Nonlinearities in Real Time?," Computing in Economics and Finance 2006 12, Society for Computational Economics.
  31. de Carvalho, Miguel & Rua, António, 2017. "Real-time nowcasting the US output gap: Singular spectrum analysis at work," International Journal of Forecasting, Elsevier, vol. 33(1), pages 185-198.
  32. Dean Croushore, 2011. "Frontiers of Real-Time Data Analysis," Journal of Economic Literature, American Economic Association, pages 72-100.
  33. Raffaella Giacomini & Barbara Rossi, 2013. "Forecasting in macroeconomics," Chapters,in: Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 17, pages 381-408 Edward Elgar Publishing.
  34. Bernanke, Ben S. & Boivin, Jean, 2003. "Monetary policy in a data-rich environment," Journal of Monetary Economics, Elsevier, pages 525-546.
  35. Croushore Dean, 2010. "An Evaluation of Inflation Forecasts from Surveys Using Real-Time Data," The B.E. Journal of Macroeconomics, De Gruyter, pages 1-32.
  36. S Cook, 2011. "An historical perspective on the forecasting performance of the Treasury Model: Forecasting the growth in UK consumers' expenditure," Post-Print hal-00665455, HAL.
  37. Benjamin Beckers, 2015. "The Real-Time Predictive Content of Asset Price Bubbles for Macro Forecasts," Discussion Papers of DIW Berlin 1496, DIW Berlin, German Institute for Economic Research.
  38. Clements, Michael P. & Beatriz Galvão, Ana, 2010. "First announcements and real economic activity," European Economic Review, Elsevier, pages 803-817.
  39. Jiang, Lei, 2014. "Stock liquidity and the Taylor rule," Journal of Empirical Finance, Elsevier, pages 202-214.
  40. João Valle e Azevedo, 2011. "Rational vs. professional forecasts," Economic Bulletin and Financial Stability Report Articles, Banco de Portugal, Economics and Research Department.
  41. Tom Stark, 2000. "Does current-quarter information improve quarterly forecasts for the U.S. economy?," Working Papers 00-2, Federal Reserve Bank of Philadelphia.
  42. Clark, Todd E. & McCracken, Michael W., 2009. "Tests of Equal Predictive Ability With Real-Time Data," Journal of Business & Economic Statistics, American Statistical Association, pages 441-454.
  43. Dean Croushore, 2011. "Frontiers of Real-Time Data Analysis," Journal of Economic Literature, American Economic Association, pages 72-100.
  44. Jose Gimenez-Nadal & Almudena Sevilla-Sanz, 2011. "The Time-Crunch Paradox," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 102(2), pages 181-196, June.
  45. Baetje, Fabian & Friedrici, Karola, 2016. "Does cross-sectional forecast dispersion proxy for macroeconomic uncertainty? New empirical evidence," Economics Letters, Elsevier, vol. 143(C), pages 38-43.
  46. John Galbraith & Simon van Norden, 2008. "The Calibration Of Probabilistic Economic Forecasts," Departmental Working Papers 2008-05, McGill University, Department of Economics.
  47. Lahura, Erick, 2017. "Monetary Aggregates and Monetary Policy in Peru," Working Papers 2017-003, Banco Central de Reserva del Perú.
  48. repec:dgr:rugsom:12009-eef is not listed on IDEAS
  49. Hui Feng, 2005. "Real-Time or Current Vintage: Does the Type of Data Matter for Forecasting and Model Selection?," Econometrics Working Papers 0515, Department of Economics, University of Victoria.
  50. Golinelli, Roberto & Parigi, Giuseppe, 2005. "Short-Run Italian GDP Forecasting and Real-Time Data," CEPR Discussion Papers 5302, C.E.P.R. Discussion Papers.
  51. Boysen-Hogrefe, Jens & Neuwirth, Stefan, 2012. "The impact of seasonal and price adjustments on the predictability of German GDP revisions," Kiel Working Papers 1753, Kiel Institute for the World Economy (IfW).
  52. repec:wly:jmoncb:v:49:y:2017:i:6:p:1385-1407 is not listed on IDEAS
  53. Michael P. Clements & Ana Beatriz Galvao, 2009. "Forecasting US output growth using leading indicators: an appraisal using MIDAS models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 24(7), pages 1187-1206.
  54. Döpke, Jörg, 2004. "Real-time data and business cycle analysis in Germany," Discussion Paper Series 1: Economic Studies 2004,11, Deutsche Bundesbank, Research Centre.
  55. Domenico Giannone & Jérôme Henry & Magdalena Lalik & Michele Modugno, 2012. "An Area-Wide Real-Time Database for the Euro Area," The Review of Economics and Statistics, MIT Press, vol. 94(4), pages 1000-1013, November.
  56. Teresa Leal & Javier J. Pérez & Mika Tujula & Jean-Pierre Vidal, 2008. "Fiscal Forecasting: Lessons from the Literature and Challenges," Fiscal Studies, Institute for Fiscal Studies, vol. 29(3), pages 347-386, September.
  57. Hamilton, James D., 2011. "Calling recessions in real time," International Journal of Forecasting, Elsevier, pages 1006-1026.
  58. Biswas, Anindya, 2014. "The output gap and expected security returns," Review of Financial Economics, Elsevier, vol. 23(3), pages 131-140.
  59. Emilia Tomczyk, 2013. "End of sample vs. real time data: perspectives for analysis of expectations," Working Papers 68, Department of Applied Econometrics, Warsaw School of Economics.
  60. Sourafel Girma & Sandra Lancheros & Alejandro Riaño, 2016. "Global Engagement and Returns Volatility," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, pages 814-833.
  61. Paredes, Joan & Pedregal, Diego J. & Pérez, Javier J., 2009. "A quarterly fiscal database for the euro area based on intra-annual fiscal information," Working Paper Series 1132, European Central Bank.
  62. Dungey, Mardi & Jacobs, Jan & Tian, Jing & Norden, Simon van, 2012. "On trend-cycle decomposition and data revision," Research Report 12009-EEF, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
  63. Martin Slanicay & Jan Čapek & Miroslav Hloušek, 2016. "Some Notes On Problematic Issues In Dsge Models," Economic Annals, Faculty of Economics, University of Belgrade, vol. 61(210), pages 79-100, July - Se.
  64. Clements Michael P., 2012. "Forecasting U.S. Output Growth with Non-Linear Models in the Presence of Data Uncertainty," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 16(1), pages 1-27, January.
  65. Sylvain Leduc & Keith Sill, 2007. "Monetary Policy, Oil Shocks, and TFP: Accounting for the Decline in U.S. Volatility," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, pages 595-614.
  66. Fred Joutz & Michael P. Clements & Herman O. Stekler, 2007. "An evaluation of the forecasts of the federal reserve: a pooled approach," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(1), pages 121-136.
  67. Gregory E. Givens, 2017. "Do Data Revisions Matter for DSGE Estimation?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 49(6), pages 1385-1407, September.
  68. Genre, Véronique & Kenny, Geoff & Meyler, Aidan & Timmermann, Allan, 2013. "Combining expert forecasts: Can anything beat the simple average?," International Journal of Forecasting, Elsevier, vol. 29(1), pages 108-121.
  69. Dean Croushore, 2008. "Revisions to PCE inflation measures: implications for monetary policy," Working Papers 08-8, Federal Reserve Bank of Philadelphia.
  70. Isabel Yi Zheng & James Rossiter, 2006. "Using Monthly Indicators to Predict Quarterly GDP," Staff Working Papers 06-26, Bank of Canada.
  71. S. Boragan Aruoba, 2008. "Data Revisions Are Not Well Behaved," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 40(2-3), pages 319-340, March.
  72. Clements, Michael P. & Galvão, Ana Beatriz, 2013. "Forecasting with vector autoregressive models of data vintages: US output growth and inflation," International Journal of Forecasting, Elsevier, vol. 29(4), pages 698-714.
  73. Capek Jan, 2015. "Estimating DSGE model parameters in a small open economy: Do real-time data matter?," Review of Economic Perspectives, De Gruyter Open, pages 89-114.
  74. Kizys, Renatas & Pierdzioch, Christian, 2010. "The business cycle and the equity risk premium in real time," International Review of Economics & Finance, Elsevier, vol. 19(4), pages 711-722, October.
  75. Benoît Bellone, 2006. "Une lecture probabiliste du cycle d’affaires américain," Économie et Prévision, Programme National Persée, vol. 172(1), pages 63-81.
  76. Paolo Pasquariello & Clara Vega, 2007. "Informed and Strategic Order Flow in the Bond Markets," Review of Financial Studies, Society for Financial Studies, vol. 20(6), pages 1975-2019, November.
  77. Leonard I. Nakamura & Tom Stark, 2007. "Mismeasured personal saving and the permanent income hypothesis," Working Papers 07-8, Federal Reserve Bank of Philadelphia.
  78. Cath Sleeman, 2006. "Analysis of revisions to quarterly GDP - a real-time database," Reserve Bank of New Zealand Bulletin, Reserve Bank of New Zealand, vol. 69, pages 1-44., March.
  79. Clements, Michael P, 2006. "Internal consistency of survey respondents.forecasts : Evidence based on the Survey of Professional Forecasters," The Warwick Economics Research Paper Series (TWERPS) 772, University of Warwick, Department of Economics.
  80. Croushore Dean, 2010. "An Evaluation of Inflation Forecasts from Surveys Using Real-Time Data," The B.E. Journal of Macroeconomics, De Gruyter, pages 1-32.
  81. Dean Croushore & Tom Stark, 2000. "A real-time data set for macroeconomists: does data vintage matter for forecasting?," Working Papers 00-6, Federal Reserve Bank of Philadelphia.
  82. Honkapohja, Seppo & Mitra, Kaushik, 2005. "Performance of inflation targeting based on constant interest rate projections," Journal of Economic Dynamics and Control, Elsevier, pages 1867-1892.
  83. Valle e Azevedo, João & Pereira, Ana, 2013. "Approximating and forecasting macroeconomic signals in real-time," International Journal of Forecasting, Elsevier, vol. 29(3), pages 479-492.
  84. Dean Croushore & Tom Stark, 1999. "Does data vintage matter for forecasting?," Working Papers 99-15, Federal Reserve Bank of Philadelphia.
  85. Mandler, Martin, 2012. "Decomposing Federal Funds Rate forecast uncertainty using time-varying Taylor rules and real-time data," The North American Journal of Economics and Finance, Elsevier, vol. 23(2), pages 228-245.
  86. Jens Hogrefe, 2008. "Forecasting data revisions of GDP: a mixed frequency approach," AStA Advances in Statistical Analysis, Springer;German Statistical Society, pages 271-296.
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