Analyzing data revisions with a dynamic stochastic general equilibrium model

Dean Croushore and Keith Sill ()

No 14-29, Working Papers from Federal Reserve Bank of Philadelphia

Abstract: We use a structural dynamic stochastic general equilibrium model to investigate how initial data releases of key macroeconomic aggregates are related to final revised versions and how identified aggregate shocks influence data revisions. The analysis sheds light on how well preliminary data approximate final data and on how policy makers might condition their view of the preliminary data when formulating policy actions. The results suggest that monetary policy shocks and multifactor productivity shocks lead to predictable revisions to the initial release data on output growth and inflation.

Keywords: Real-time data; DSGE models; Bayesian analysis; Data revisions (search for similar items in EconPapers)
JEL-codes: C11 C32 C53 E27 E47 (search for similar items in EconPapers)
Pages: 38 pages
Date: 2014-09-23
New Economics Papers: this item is included in nep-dge and nep-mac
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Citations: View citations in EconPapers (7)

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