We report results on the ex ante predictability of monthly excess stock returns in Germany using real-time and revised macroeconomic data. Our real-time macroeconomic data cover the period 1994-2005. We report three results. 1) Real-time macroeconomic data did not contribute much to ex ante...

Das vorliegende Buch beinhaltet sämtliche Beiträge der 23. CIRET-Konferenz, die 1997 in Helsinki sattfand. Schwerpunkte waren dabei der internationale Wettbewerb, der Dienstleistungssektor, die Erhebung und Verwendung von Umfragedaten sowie Finazindikatoren. Besondere Bedeutung haben dabei die...

This paper focuses on testing non-stationary real-time data for forecastability, i.e., whether data revisions reduce noise or are news, by putting data releases in vector-error correction forms. To deal with historical revisions which affect the whole vintage of time series due to redefinitions,...