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

40 Pages Posted: 5 Sep 2016

Date Written: September 1, 2016

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

Suggested Citation

Mogliani, Matteo and Ferriere, Thomas, Rationality of Announcements, Business Cycle Asymmetry, and Predictability of Revisions. The Case of French GDP (September 1, 2016). Banque de France Working Paper No. 600, Available at SSRN: https://ssrn.com/abstract=2834857 or http://dx.doi.org/10.2139/ssrn.2834857

Matteo Mogliani (Contact Author)

Banque de France ( email )

Paris
France

Thomas Ferriere

Banque de France ( email )

Paris
France

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