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Do forecasters target first or later releases of national accounts data?

Michael Clements

No icma-dp2017-03, ICMA Centre Discussion Papers in Finance from Henley Business School, Reading University

Abstract: We consider whether there is any evidence that macro forecasters attempt to forecast data-vintages beyond the first estimates. Our approach requires that both the first and subsequent estimates are predictable prior to the first estimate being released using publically available information. There is some weak evidence that consensus forecasts of consumers' expenditure target vintage estimates after the first estimate, and that around a fifth of individual forecasters put some weight on later estimates of the macro variables.

Date: 2017-06
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