Predicting Early Data Revisions to US GDP and the Effects of Releases on Equity Markets

@inproceedings{Clements2015PredictingED,
  title={Predicting Early Data Revisions to US GDP and the Effects of Releases on Equity Markets},
  author={Michael P. Clements},
  year={2015}
}
The effects of data uncertainty on real-time decision-making can be reduced by predicting data revisions to US GDP growth. We show that survey forecasts effi ciently predict the revision implicit in the second estimate of GDP growth, but that forecasting models incorporating monthly economic indicators and daily equity returns provide superior forecasts of the data revision implied by the release of the third estimate. We use forecasting models to measure the impact of surprises in GDP… CONTINUE READING