Predicting early data revisions to US GDP and the effects of releases on equity markets

Clements, M. P. ORCID: https://orcid.org/0000-0001-6329-1341 and Galvão, A. B. (2017) Predicting early data revisions to US GDP and the effects of releases on equity markets. Journal of Business & Economic Statistics, 35 (3). pp. 389-406. ISSN 0735-0015 doi: 10.1080/07350015.2015.1076726

Abstract/Summary

The effects of data uncertainty on real-time decision-making can be reduced by predicting early revisions to US GDP growth. We show that survey forecasts efficiently anticipate the first-revised estimate of GDP, but that forecasting models incorporating monthly economic indicators and daily equity returns provide superior forecasts of the second-revised estimate. We consider the implications of these findings for analyses of the impact of surprises in GDP revision announcements on equity markets, and for analyses of the impact of anticipated future revisions on announcement-day returns.

Item Type	Article
URI	https://reading-clone.eprints-hosting.org/id/eprint/42102
Identification Number/DOI	10.1080/07350015.2015.1076726
Refereed	Yes
Divisions	Henley Business School > Finance and Accounting
Publisher	Taylor & Francis
Download/View statistics	View download statistics for this item