The Properties of Market-Based and Survey Forecasts for Different Data Releases

Markku Lanne

MPRA Paper from University Library of Munich, Germany

Abstract: We compare the accuracy of the survey forecasts and forecasts implied by economic binary options on the U.S. nonfarm payroll change. These options are available for a number of ranges of the announced figure, and each pays $1 if the released nonfarm payroll change falls in the given range. For the first-release data both the market-based and survey forecasts are biased, while they are rational and approximately equally accurate for later releases. Both forecasts are more accurate for later releases. Because of predictability in the revision process, this indicates that the investors in the economic derivatives market are incapable of taking the measurement error in the preliminary estimates efficiently into account. This suggests that economic stability could be enhanced by more accurate first-release figures.

Keywords: Expectations; economic derivatives; data vintage; real-time data (search for similar items in EconPapers)
JEL-codes: C5 C82 D8 E44 (search for similar items in EconPapers)
Date: 2007
New Economics Papers: this item is included in nep-for and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/3877/1/MPRA_paper_3877.pdf original version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:3877

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().