OECD Journal: Journal of Business Cycle Measurement and Analysis

The Journal of Business Cycle Measurement and Analysis has been discontinued as of 24 June 2016. This journal was published jointly with CIRET from 2004 to 2015. For more information see www.ciret.org/jbcy.


Keywords: business tendency, economic measurement, economic statistics, cyclical indicators, business surveys, business cycles, economic research, business investment, consumer surveys, economic indicators, economic cycle, cyclical fluctuations, short-term, economic analysis

Do benchmark revisions affect the consumption-to-output and investment-to-output ratios in Germany?

The balanced growth and stochastic growth theory implies stable consumption-to-output and investment-to-output ratios. It is tested by cointegration techniques for three different German data vintages. Systems cointegration tests are helpful in revealing inconsistencies across vintages. Differencing and rebasing, often used to adjust for benchmark revisions, are generally not sufficient to ensure consistent real-time macroeconomic data. Vintage transformation functions estimated by cointegrating regressions are more flexible. Empirically, the cointegrating property between consumption and output, as well as between investment and output, is often found, whereas the one-to-one relationship is mostly rejected. Moreover, the linear transformation function is helpful in describing the relation between two older final vintages. This function seems to be insufficient if the most recent data collection framework is involved.


Keywords: Real-Time Data, Benchmark Revisions, Consumption-Output Ratio, Investment-Output Ratio
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