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Rationality of announcements, business cycle asymmetry, and predictability of revisions. The case of French GDP

Author

Listed:
  • M. Mogliani
  • T. Ferrière
Abstract
We analyze French GDP revisions and we investigate the rationality of preliminary announcements of GDP. We consider nonlinearities, taking the form of business cycle asymmetry and time changes, and their effect on both unconditional moments of revisions and the rationality of announcements. We find that nonlinearity represents an interesting feature of French GDP announcements and revisions. Our results suggest that revisions are unbiased, but announcements are overall inefficient, conditionally on a set of macro-financial indicators. Finally, we investigate the forecastability of GDP revisions in real-time and we find out that total revisions are predictable.

Suggested Citation

  • M. Mogliani & T. Ferrière, 2016. "Rationality of announcements, business cycle asymmetry, and predictability of revisions. The case of French GDP," Working papers 600, Banque de France.
    • Handle: RePEc:bfr:banfra:600
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    Cited by:

    1. Ducoudré, Bruno & Hubert, Paul & Tabarly, Guilhem, 2020. "The state-dependence of output revisions," Economics Letters, Elsevier, vol. 192(C).
    2. repec:spo:wpmain:info:hdl:2441/2q9catktmn91sabau2l9qji1as is not listed on IDEAS
    3. Clément Bortoli & Stéphanie Combes & Thomas Renault, 2018. "Nowcasting GDP Growth by Reading the Newspapers," Economie et Statistique / Economics and Statistics, Institut National de la Statistique et des Etudes Economiques (INSEE), issue 505-506, pages 17-33.
    4. repec:hal:spmain:info:hdl:2441/2q9catktmn91sabau2l9qji1as is not listed on IDEAS
    5. Mogliani, Matteo & Darné, Olivier & Pluyaud, Bertrand, 2017. "The new MIBA model: Real-time nowcasting of French GDP using the Banque de France's monthly business survey," Economic Modelling, Elsevier, vol. 64(C), pages 26-39.
    6. repec:spo:wpmain:info:hdl:2441/4bhjotvnvo9308hhu8rqo497o9 is not listed on IDEAS
    7. repec:hal:spmain:info:hdl:2441/4bhjotvnvo9308hhu8rqo497o9 is not listed on IDEAS

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    More about this item

    Keywords

    GDP Revisions; Real-time dataset; Efficiency; Unbiasedness; Forecasting.;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications

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