Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/120854
Authors: 
Glass, Katharina
Fritsche, Ulrich
Year of Publication: 
2015
Series/Report no.: 
DEP (Socioeconomics) Discussion Papers, Macroeconomics and Finance Series 6/2014R
Abstract: 
Most macroeconomic data is continuously revised as additional information becomes available. We suggest that revisions of data is an increasingly important source of uncertainty about the state of the economy and offer an alternative channel of uncertainty - data uncertainty. This paper adds on the uncertainty literature and focuses on data uncertainty, which originates in the revision structure of data. We find that apart from the general and economic policy uncertainty, the data uncertainty has been rising throughout the past decade in the US and Euro area. To the best of our knowledge, this is the first study of Euro area data uncertainty. Our analysis shows that there is a positive lagged effect of economic policy uncertainty on data uncertainty for both regions. Our finding corresponds to the recent literature on increased macroeconomic and 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
VIX
JEL: 
C53
C8
D80
E3
Document Type: 
Working Paper

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