Let's Get 'Real' About Using Economic Data

22 Pages Posted: 24 Jul 2001

See all articles by Peter Christoffersen

Peter Christoffersen

University of Toronto - Rotman School of Management; Copenhagen Business School; Aarhus University - CREATES

Eric Ghysels

University of North Carolina Kenan-Flagler Business School; University of North Carolina (UNC) at Chapel Hill - Department of Economics

Norman R. Swanson

Rutgers University - Department of Economics

Date Written: June 2001

Abstract

We show that using data which are properly available in real time when assessing the sensitivity of asset prices to economic news leads to different empirical findings than when data availability and timing issues are ignored. We do this by focusing on a particular example, namely Chen, Roll and Ross (1986), and examine whether innovations to economic variables can be viewed as risks that are rewarded in asset markets. Our findings support the view that data uncertainty is sufficiently prevalent to warrant careful use of real-time data when forming real-time news measures, and in general when undertaking empirical financial investigations involving macroeconomic data.

Keywords: Market efficiency, expectations, news, data revision process

JEL Classification: E17, E44, G11

Suggested Citation

Christoffersen, Peter and Ghysels, Eric and Swanson, Norman Rasmus, Let's Get 'Real' About Using Economic Data (June 2001). Available at SSRN: https://ssrn.com/abstract=249616 or http://dx.doi.org/10.2139/ssrn.249616

Peter Christoffersen (Contact Author)

University of Toronto - Rotman School of Management ( email )

105 St. George Street
Toronto, Ontario M5S 3E6 M5P 3C4
Canada
416-946-5511 (Phone)

Copenhagen Business School

Solbjerg Plads 3
Frederiksberg C, DK - 2000
Denmark

Aarhus University - CREATES

School of Economics and Management
Building 1322, Bartholins Alle 10
DK-8000 Aarhus C
Denmark

Eric Ghysels

University of North Carolina Kenan-Flagler Business School ( email )

Kenan-Flagler Business School
Chapel Hill, NC 27599-3490
United States

University of North Carolina (UNC) at Chapel Hill - Department of Economics ( email )

Gardner Hall, CB 3305
Chapel Hill, NC 27599
United States
919-966-5325 (Phone)
919-966-4986 (Fax)

HOME PAGE: http://www.unc.edu/~eghysels/

Norman Rasmus Swanson

Rutgers University - Department of Economics ( email )

NJ
United States

HOME PAGE: http://econweb.rutgers.edu/nswanson/

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