Title: The effects of CBS revisions on CPB forecasts
Authors: Adam Elbourne - CPB Netherlands Bureau for Economic Policy Analysis (Netherlands) [presenting]
Kasia Grabska - CPB Netherlands Bureau for Economic Policy Analysis (Netherlands)
Henk Kranendonk - CPB Netherlands Bureau for Economic Policy Analysis (Netherlands)
Jason Rhuggenaath - CPB Netherlands Bureau for Economic Policy Analysis (Netherlands)
Abstract: The uncertainty caused by data revisions is put into perspective by asking how different CPBs forecasts would have been based on revised data. Over the period 2004-2014 GDP growth (quarter on quarter) was typically revised upwards on average 0.1 percentage points with a standard deviation of 0.2 percentage points from the 1st to the second estimate of the quarterly growth rates. Secondly, we look how a typical revision would change our published forecasts. Our measure of a typical revision takes into account the observed cross correlation between the components of GDP, for example when GDP is revised upwards consumption is also revised upwards. A typical GDP revision in the last quarter of this year would increase our GDP forecast for next by 0.23 percentage points. Finally, we use our measure of the sensitivity of our published forecasts to typical revisions to get an idea of the importance of uncertain national accounts data for our overall forecast error. For the period 2004-2014 the root mean square forecast error for our CEP forecast would decline from 0.65 percentage points to about 0.51 percentage points if our forecasts were based on definitive rather than provisional estimates of the national accounts. Thus, the majority of our forecast error can be attributed to other sources of uncertainty.