Real‐Time Data, Revisions and the Predictive Ability of DSGE
Models

J 2025

Real‐Time Data, Revisions and the Predictive Ability of DSGE Models

ČAPEK, Jan; Jesús CRESPO CUARESMA; Jakub CHALMOVIANSKÝ a Vlastimil REICHEL

Základní údaje

Originální název

Real‐Time Data, Revisions and the Predictive Ability of DSGE Models

Autoři

ČAPEK, Jan ; Jesús CRESPO CUARESMA; Jakub CHALMOVIANSKÝ a Vlastimil REICHEL

Vydání

Oxford Bulletin of Economics and Statistics, Hoboken, WILEY, 2025, 0305-9049

Další údaje

Jazyk

angličtina

Typ výsledku

Článek v odborném periodiku

Obor

50202 Applied Economics, Econometrics

Stát vydavatele

Spojené státy

Utajení

není předmětem státního či obchodního tajemství

Odkazy

URL

Impakt faktor

Impact factor: 1.400 v roce 2024

Označené pro přenos do RIV

Ano

Organizační jednotka

Ekonomicko-správní fakulta

Klíčová slova anglicky

data revisions; DSGE models; forecasting; real-time data

Štítky

rivok

Příznaky

Mezinárodní význam, Recenzováno

Změněno: 10. 3. 2026 14:29, Eliška Poláčková

Anotace

V originále

We evaluate the impact of real-time macroeconomic data and data revisions on the forecasting performance of DSGE models in the US and the euro area. We identify significant differences in data revisions between the two world regions: Negative revisions (due to overestimation in early data releases) are prevalent in the US, while the euro area data tends to be dominated by positive revisions. These biases are most significant in consumption growth, output growth, and hours worked. Parameter estimates in small-sized DSGE models are not strongly affected by the use of real-time data, while larger models exhibit substantial differences depending on the data used, especially during large economic downturns. Revisions significantly affect the predictive accuracy of the DSGE model for output growth in the US and for inflation and interest rates in the euro area. Our findings highlight the central role of data revisions as a determinant of predictive accuracy in macroeconomic models and thus of the quality of such specifications as an instrument to inform evidence-based policy-making.

Návaznosti

GA21-10562S, projekt VaV

Název: O časově proměnné prediktivní schopnosti teoretických a empirických makroekonomických modelů

Investor: Grantová agentura ČR, O časově proměnné prediktivní schopnosti teoretických a empirických makroekonomických modelů

LX22NPO5101, projekt VaV

Název: Národní institut pro výzkum socioekonomických dopadů nemocí a systémových rizik (Akronym: SYRI)

Investor: Ministerstvo školství, mládeže a tělovýchovy ČR, Národní institut pro výzkum socioekonomických dopadů nemocí a systémových rizik, 5.1 EXCELES

Přiložené soubory

Oxf_Bull_Econ_Stat_-_2025_-_Capek_-_Real_Time_Data_Revisions_and_the_Predictive_Ability_of_DSGE_Models_final_vor.pdf

Oxf_Bull_Econ_Stat_-_2025_-_Capek_-_Real_Time_Data_Revisions_and_the_Predictive_Ability_of_DSGE_Models.pdf

Citovat

ČAPEK, Jan; Jesús CRESPO CUARESMA; Jakub CHALMOVIANSKÝ a Vlastimil REICHEL. Real‐Time Data, Revisions and the Predictive Ability of DSGE Models. Oxford Bulletin of Economics and Statistics. Hoboken: WILEY, 2025, roč. 87, č. 6, s. 1059-1080. ISSN 0305-9049. Dostupné z: https://doi.org/10.1111/obes.12677.

@article{2488741,
   author = {Čapek, Jan and Crespo Cuaresma, Jesús and Chalmovianský, Jakub and Reichel, Vlastimil},
   article_location = {Hoboken},
   article_number = {6},
   doi = {https://doi.org/10.1111/obes.12677},
   keywords = {data revisions; DSGE models; forecasting; real-time data},
   language = {eng},
   issn = {0305-9049},
   journal = {Oxford Bulletin of Economics and Statistics},
   title = {Real‐Time Data, Revisions and the Predictive Ability of DSGE Models},
   url = {https://onlinelibrary.wiley.com/doi/10.1111/obes.12677},
   volume = {87},
   year = {2025}
}

TY  - JOUR
ID  - 2488741
AU  - Čapek, Jan - Crespo Cuaresma, Jesús - Chalmovianský, Jakub - Reichel, Vlastimil
PY  - 2025
TI  - Real‐Time Data, Revisions and the Predictive Ability of DSGE Models
JF  - Oxford Bulletin of Economics and Statistics
VL  - 87
IS  - 6
SP  - 1059-1080
EP  - 1059-1080
PB  - WILEY
SN  - 03059049
KW  - data revisions
KW  - DSGE models
KW  - forecasting
KW  - real-time data
UR  - https://onlinelibrary.wiley.com/doi/10.1111/obes.12677
N2  - We evaluate the impact of real-time macroeconomic data and data revisions on the forecasting performance of DSGE models in the US and the euro area. We identify significant differences in data revisions between the two world regions: Negative revisions (due to overestimation in early data releases) are prevalent in the US, while the euro area data tends to be dominated by positive revisions. These biases are most significant in consumption growth, output growth, and hours worked. Parameter estimates in small-sized DSGE models are not strongly affected by the use of real-time data, while larger models exhibit substantial differences depending on the data used, especially during large economic downturns. Revisions significantly affect the predictive accuracy of the DSGE model for output growth in the US and for inflation and interest rates in the euro area. Our findings highlight the central role of data revisions as a determinant of predictive accuracy in macroeconomic models and thus of the quality of such specifications as an instrument to inform evidence-based policy-making.
ER  -

ČAPEK, Jan; Jesús CRESPO CUARESMA; Jakub CHALMOVIANSKÝ a Vlastimil REICHEL. Real‐Time Data, Revisions and the Predictive Ability of DSGE Models. \textit{Oxford Bulletin of Economics and Statistics}. Hoboken: WILEY, 2025, roč.~87, č.~6, s.~1059-1080. ISSN~0305-9049. Dostupné z: https://doi.org/10.1111/obes.12677.

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