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The state-dependence of output revisions

Author

Listed:
  • Bruno Ducoudre

    (OFCE - Observatoire français des conjonctures économiques (Sciences Po) - Sciences Po - Sciences Po)

  • Paul Hubert

    (OFCE - Observatoire français des conjonctures économiques (Sciences Po) - Sciences Po - Sciences Po)

  • Guilhem Tabarly

    (Université Paris Dauphine-PSL - PSL - Université Paris Sciences et Lettres, LEDa - Laboratoire d'Economie de Dauphine - IRD - Institut de Recherche pour le Développement - Université Paris Dauphine-PSL - PSL - Université Paris Sciences et Lettres - CNRS - Centre National de la Recherche Scientifique)

Abstract

This paper investigates whether economic activity dynamics predict GDP revisions using panel data from 15 OECD countries. We find that economic activity predicts GDP revisions: early releases tend to overestimate GDP growth during slowdowns –and vice-versa. We also find that the source of the predictability could be related to the sampling of information collection. Finally, the predictability comes from short-term economic activity dynamics rather than business cycle position.

Suggested Citation

  • Bruno Ducoudre & Paul Hubert & Guilhem Tabarly, 2020. "The state-dependence of output revisions," Working Papers hal-03403073, HAL.
    • Handle: RePEc:hal:wpaper:hal-03403073
    Note: View the original document on HAL open archive server: https://sciencespo.hal.science/hal-03403073
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    References listed on IDEAS

    as
    1. 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.
    2. Clements, Michael P. & Beatriz Galvão, Ana, 2010. "First announcements and real economic activity," European Economic Review, Elsevier, vol. 54(6), pages 803-817, August.
    3. S. Borağan Aruoba, 2008. "Data Revisions Are Not Well Behaved," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 40(2‐3), pages 319-340, March.
    4. Mr. Manik L. Shrestha & Mr. Marco Marini, 2013. "Quarterly GDP Revisions in G-20 Countries: Evidence from the 2008 Financial Crisis," IMF Working Papers 2013/060, International Monetary Fund.
    5. Richard McKenzie, 2006. "Undertaking Revisions and Real-Time Data Analysis using the OECD Main Economic Indicators Original Release Data and Revisions Database," OECD Statistics Working Papers 2006/2, OECD Publishing.
    6. Patterson, K. D. & Heravi, S. M., 1991. "Are different vintages of data on the components of GDP co-integrated? : Some evidence for the United Kingdom," Economics Letters, Elsevier, vol. 35(4), pages 409-413, April.
    7. Sinclair, Tara M. & Stekler, H.O., 2013. "Examining the quality of early GDP component estimates," International Journal of Forecasting, Elsevier, vol. 29(4), pages 736-750.
    8. N. Gregory Mankiw & Matthew D. Shapiro, 1986. "News or Noise? An Analysis of GNP Revisions," NBER Working Papers 1939, National Bureau of Economic Research, Inc.
    9. Rodriguez Mora, Jose V. & Schulstad, Paul, 2007. "The effect of GNP announcements on fluctuations of GNP growth," European Economic Review, Elsevier, vol. 51(8), pages 1922-1940, November.
    10. M. Mogliani & T. Ferrière, 2016. "Rationality of announcements, business cycle asymmetry, and predictability of revisions. The case of French GDP," Working papers 600, Banque de France.
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    More about this item

    Keywords

    Gross domestic product; National accounts; Revision analysis;
    All these keywords.

    JEL classification:

    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • C8 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs
    • E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles

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