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Revision Analysis for General Economic Statistics

Revision Analysis for General Economic Statistics. Henning Ahnert European Central Bank. OECD Short-term Economic Statistics Working Party 26-28 June 2006, Paris. 2. Motivation. ECB discussion February 2006:

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Revision Analysis for General Economic Statistics

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  1. Revision Analysis for General Economic Statistics Henning Ahnert European Central Bank OECD Short-term Economic StatisticsWorking Party 26-28 June 2006, Paris

  2. 2 Motivation • ECB discussion February 2006: • Revision of initial (low) GDP growth estimate for 2005Q4 cannot be excluded; volatility of short-term data • Recent press quotes : • Initial estimate may underestimate 2005Q4 GDP growth(JP Morgan) • Europe’s statisticians too gloomy (The Economist) •  ECB Revision analysis 2

  3. 3 Basic features of the analysis (I) • Selected key indicators: • GDP & expenditurecomponents & compensation • Employment &Unemployment • HICP and Labour Cost Index • Industrial production & Retail trade turnover • Euro area, six largest euro area countries, UK, US, Japan • Data sources: Eurostat, ECB, OECD 3

  4. 4 Basic features of the analysis (II) • Revisions are necessary ! • Low revisions do not prove accurate measurement • Revisions may incorporate new information, conceptual changes, changes in seasonal and working day adjustment factors etc. • Euro area statistics: harmonisation, improved timeliness, changes in country coverage have led to welcome changes and revisions 4

  5. 5 Timeliness and coverage Euro area: timeliness and country coverage rates 5

  6. 6 Main results for euro area statistics • more stable than euro area country data  main reason: revisions ‘cancel out’ • but: small GDP revisions coincide with low growth • monthly indicators (e.g. retail trade) less reliable than quarterly indicators 6

  7. 7 Main results by country Six largest euro area countries: • revisions in 1999/2000 higher (new statistics) • revisions vary from relatively low (for GDP) to rather high (for retail sales) UK: as largest euro area countries US: higher revisions for GDP and employment, comparable revisions for other variables (but typically higher growth rates!) JP: higher revisions for GDP and retail sales, employment and unemployment hardly revised 7

  8. 8 Current data minus first release First release Current data 1.3 1.3 1.1 1.1 0.9 0.9 0.7 0.7 0.5 0.5 0.3 0.3 0.1 0.1 -0.1 -0.1 -0.3 -0.3 -0.5 -0.5 99Q1 02Q3 03Q1 03Q3 04Q1 04Q3 05Q1 05Q3 99Q3 00Q1 00Q3 01Q1 01Q3 02Q1 GDP Euro area GDP volume growth (seasonally adjusted; quarter-on-quarter growth rate)  (Recently) stable results and no bias(t+45) 8

  9. 9 Euro area and country GDP revisions Euro area revisions smoother than country revisions 9

  10. 10 HICP Euro area annual HICP (non-adjusted; annual growth rate)  Very reliable flash estimate (t+0) 10

  11. 11 Unemployment Euro area unemployment rate (seasonally adjusted)  Revisions due to conceptual changes (t+30) 11

  12. 12 Industrial production (I) Euro area (s.a.; month-on-month growth)  Relatively volatile on a monthly basis ... (t+35) 12

  13. 13 Industrial production (II) Euro area (s. a. 3 months moving average; month-on-month growth)  ...less volatile 3 months moving average 13

  14. 14 Industrial production (III) Euro area and selected countries (current data minus first release; seasonally adjusted; month-on-month growth) Country data more volatile – cancels out at euro area level 14

  15. 15 Industrial production (IV) Revision indicators - euro area and selected countries • 3 groups; broadly corresponding to country size ? • Significant successive revisions in euro area 15

  16. 16 Retail trade turnover (I) Euro area (s.a.; month-on-month growth) (t+35)  No bias, but very unstable (improving in 2005?) 16

  17. 17 Retail trade turnover (III) Revision indicators - euro area and selected countries 17

  18. 18 Final remarks • Favourable result for most euro area indicators - more stable than country data (revisions cancel out) • Experience too short for analysis of “cyclical” revisions, but can revisions be better anticipated? • Monthly data very valuable despite higher revisions (timeliness!)… • …but can we better understand the reasons for high revisions ? • Synchronised national release and revision policiesmay further stabilise euro area statistics 18

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