Real‐Time Data, Revisions and the Predictive Ability of DSGE Models

Jan Čapek, Jesús Crespo Cuaresma, Jakub Chalmovianský and Vlastimil Reichel

Oxford Bulletin of Economics and Statistics, 2025, vol. 87, issue 6, 1059-1080

Abstract: We evaluate the impact of real‐time macroeconomic data and data revisions on the forecasting performance of DSGE models in the US and the euro area. We identify significant differences in data revisions between the two world regions: Negative revisions (due to overestimation in early data releases) are prevalent in the US, while the euro area data tends to be dominated by positive revisions. These biases are most significant in consumption growth, output growth, and hours worked. Parameter estimates in small‐sized DSGE models are not strongly affected by the use of real‐time data, while larger models exhibit substantial differences depending on the data used, especially during large economic downturns. Revisions significantly affect the predictive accuracy of the DSGE model for output growth in the US and for inflation and interest rates in the euro area. Our findings highlight the central role of data revisions as a determinant of predictive accuracy in macroeconomic models and thus of the quality of such specifications as an instrument to inform evidence‐based policy‐making.

Date: 2025
References: Add references at CitEc
Citations:

Downloads: (external link)
https://doi.org/10.1111/obes.12677

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:bla:obuest:v:87:y:2025:i:6:p:1059-1080

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0305-9049

Access Statistics for this article

Oxford Bulletin of Economics and Statistics is currently edited by Christopher Adam, Anindya Banerjee, Christopher Bowdler, David Hendry, Adriaan Kalwij, John Knight and Jonathan Temple

More articles in Oxford Bulletin of Economics and Statistics from Department of Economics, University of Oxford Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().