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

The role of data revisions and disagreement in professional forecasts

This study has two primary objectives: 1) To investigate whether official data releases of macroeconomic indicators are systematically revised 2) To evaluate the accuracy and disagreement of professional forecasters with respect to initial releases and final values. The analyses are applied to individual forecasts and real-time releases using a unique data set regarding 52 macroeconomic indicators for the US, the Eurozone, and Germany for the period of 1999-2010. The empirical analysis of data revisions shows that some indicators are considerably and systematically revised. Forecasters tend to account for systematic revisions and try to predict final values for certain indicators. For others, forecasters appear to be targeting initial releases, even though these indicators are systematically revised. In the latter case, forecasters use information inefficiently. Forecasters’ disagreement regarding fundamentals is higher during domestic recessions and when the national stock market is volatile.

Keywords: Rational expectations, macroeconomic indicators, disagreement, survey analysis, real-time data

JEL classification: D81, D84, E17


JEL: D84: Microeconomics / Information, Knowledge, and Uncertainty / Expectations; Speculations; D81: Microeconomics / Information, Knowledge, and Uncertainty / Criteria for Decision-Making under Risk and Uncertainty; E17: Macroeconomics and Monetary Economics / General Aggregative Models / General Aggregative Models: Forecasting and Simulation: Models and Applications
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