The Role of Data Revisions and Disagreement in Professional Forecasts

Eva A. Arnold ()
Additional contact information
Eva A. Arnold: Universität Hamburg (University of Hamburg)

No 201303, Macroeconomics and Finance Series from University of Hamburg, Department of Socioeconomics

Abstract: This paper aims at evaluating individual expectation accuracy of professional forecasters for 57 U.S., European, and German macroeconomic indicators over the period 1999-2010. The empirical analysis shows that initial announcements are partly considerably revised, and that some revisions occur systematically. Taking into account whether announcements are revised systematically and whether economists (assumingly) aim at forecasting the initial release or the latest revision, signi cant di erences can be observed with regard to forecasters' expectation errors. In general, forecasters that are (assumingly) aiming to predict the latest revisions of German indicators are able to form better forecasts if these indicators are revised systematically. Though to a lower extent, this relationship is also observable regarding U.S. indicators. Forecasters' disagreement about fundamentals is higher during recessions and when stock markets are volatile.

Keywords: Rational expectations; Macroeconomic indicators; Disagreement; Survey analysis; Real-time data (search for similar items in EconPapers)
JEL-codes: D81 D84 E17 (search for similar items in EconPapers)
Pages: 31 pages
Date: 2013-05
New Economics Papers: this item is included in nep-for
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.wiso.uni-hamburg.de/repec/hepdoc/macppr_3_2013.pdf First version, 2013 (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:hep:macppr:201303

Access Statistics for this paper

More papers in Macroeconomics and Finance Series from University of Hamburg, Department of Socioeconomics Contact information at EDIRC.
Bibliographic data for series maintained by Ulrich Fritsche ( this e-mail address is bad, please contact ).