Rationality of Announcements, Business Cycle Asymmetry, and Predictability of Revisions. The Case of French GDP

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.

Keywords: GDP Revisions, Real-time dataset, Efficiency, Unbiasedness, Forecasting

JEL Classification: C22, C52, E37