Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/103201
Authors: 
Glass, Katharina
Fritsche, Ulrich
Year of Publication: 
2014
Series/Report no.: 
DEP (Socioeconomics) Discussion Papers, Macroeconomics and Finance Series 6/2014
Abstract: 
Most macroeconomic data is continuously revised as additional information becomes available. We suggest that revisions of data is an important source of uncertainty about the state of the economy. This paper evaluates the quality of major real macroeconomic Euro area variables, published by Eurostat since 2001. The real time data set contains 159 vintages, covering the period of January 1991 until March 2014. The information content or informativeness of revision is measured using three methods: descriptive error statistics, signal-to-noise ratios and entropy measures. Our results document a trend of growing data uncertainty over the past decade for Euro area variables. As a robustness check, we reckon our results using US data and additionally show that uncertainty calculations are robust towards changes in final revision definition. Moreover, Euro area signal-noise-ratios and entropy measures are correlated with popular uncertainty proxies, Euro area news-based EPU and the VSTOXX. Our finding corresponds to the recent literature on increased macroeconomic uncertainty and especially economic policy uncertainty during and after the “Great Recession”.
Subjects: 
forecasting
information content
uncertainty
revisions
revision errors
entropy
signal-to-noise ratio
integrated signal-to-noise ratio
recession
EPU
VSTOXX
JEL: 
C53
C8
D80
E3
Document Type: 
Working Paper

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