Analyzing Data Revisions with a Dynamic Stochastic General Equilibrium Model

38 Pages Posted: 30 Sep 2014

See all articles by Dean Croushore

Dean Croushore

University of Richmond - E. Claiborne Robins School of Business

Keith Sill

affiliation not provided to SSRN

Date Written: September 23, 2014

Abstract

We use a structural dynamic stochastic general equilibrium model to investigate how initial data releases of key macroeconomic aggregates are related to final revised versions and how identified aggregate shocks influence data revisions. The analysis sheds light on how well preliminary data approximate final data and on how policy makers might condition their view of the preliminary data when formulating policy actions. The results suggest that monetary policy shocks and multifactor productivity shocks lead to predictable revisions to the initial release data on output growth and inflation.

Keywords: Real-Time Data, DSGE Models, Bayesian Analysis, Data Revisions

JEL Classification: C11, C32, C53, E27, E47

Suggested Citation

Croushore, Dean and Sill, Keith, Analyzing Data Revisions with a Dynamic Stochastic General Equilibrium Model (September 23, 2014). FRB of Philadelphia Working Paper No. 14-29, Available at SSRN: https://ssrn.com/abstract=2502847 or http://dx.doi.org/10.2139/ssrn.2502847

Dean Croushore (Contact Author)

University of Richmond - E. Claiborne Robins School of Business ( email )

1 Gateway Road
University of Richmond, VA 23173
United States
804-287-1961 (Phone)

HOME PAGE: http://oncampus.richmond.edu/~dcrousho

Keith Sill

affiliation not provided to SSRN

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