Are German National Accounts informationally efficient?

Author:

Döhrn RolandORCID

Abstract

AbstractNational accounts are subject to major revisions. To improve the reliability of first release data, it is important to know whether subsequent revisions show systematic patterns. Or, in other words, whether national accounts are informationally efficient in the sense that all available information is incorporated into the data. This paper used annual data to test three dimensions of informational efficiency: weak efficiency, strong efficiency, and Nordhaus efficiency. The weak efficiency tests found GDP revisions to be noise, whereas revisions of several GDP components showed systematic patterns. Strong efficiency tests found covariations of GDP revisions with some indicators. Business survey results in particular have the potential to reduce the extent of revisions. Finally, Nordhaus efficiency tests found some indication of revision stickiness.

Funder

RWI – Leibniz-Institut für Wirtschaftsforschung e.V.

Publisher

Springer Science and Business Media LLC

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Finance,Business and International Management

Reference21 articles.

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