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Real-time Macroeconomic Data and Uncertainty

Katharina Glass and Ulrich Fritsche ()

No 201406, Macroeconomics and Finance Series from University of Hamburg, Department of Socioeconomics

Abstract: Most macroeconomic data is continuously revised as additional information becomes avail- able. We suggest that revisions of data is an increasingly important source of uncertainty about the state of the economy and offer an alternative channel of uncertainty - data uncer- tainty. This paper adds on the uncertainty literature and focuses on data uncertainty, which originates in the revision structure of data. We find that apart from the general and eco- nomic policy uncertainty, the data uncertainty has been rising throughout the past decade in the US and Euro area. To the best of our knowledge, this is the first study of Euro area data uncertainty. Our analysis shows that there is a positive lagged effect of economic policy uncertainty on data uncertainty for both regions. Our finding corresponds to the recent lit- erature on increased macroeconomic and economic policy uncertainty during and after the "Great Recession”.

Keywords: forecasting; information content; uncertainty; revisions; revision errors; entropy; signal-to-noise ratio; integrated signal-to-noise ratio; recession; EPU; VSTOXX; VIX (search for similar items in EconPapers)
JEL-codes: C53 C8 D80 E3 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-eec and nep-mac
Date: 2015-07
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https://www.wiso.uni-hamburg.de/repec/hepdoc/macppr_6_2014R.pdf First version, 2015-07 (application/pdf)

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Persistent link: https://EconPapers.repec.org/RePEc:hep:macppr:201406

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