Predicting Early Data Revisions to U.S. GDP and the Effects of Releases on Equity Markets
研究通过预测美国GDP增长的数据修正来降低数据不确定性对实时决策的影响，发现调查预测能有效预测第二次估计中的修正，而结合月度经济指标和日股票收益的模型能更好预测第三次估计的修正，并分析GDP公告对股票市场的影响。
The effects of data uncertainty on real-time decision-making can be reduced by predicting data revisions to U.S. GDP growth. We show that survey forecasts efficiently predict the revision implicit in the second estimate of GDP growth, but that forecasting models incorporating monthly economic indicators and daily equity returns provide superior forecasts of the data revision implied by the release of the third estimate. We use forecasting models to measure the impact of surprises in GDP announcements on equity markets, and to analyze the effects of anticipated future revisions on announcement-day returns. We show that the publication of better than expected third-release GDP figures provides a boost to equity markets, and if future upward revisions are expected, the effects are enhanced during recessions.