What Can We Learn From Comprehensive Data Revisions for Forecasting Inflation? Some U.S. Evidence,”, Wilfred Laurier University, working paper

This paper examines the empirical properties of benchmark revisions to key U.S. macroeconomic aggregates. The news versus noise impact of revisions is interpreted in the context of the cointegration property of successive benchmark revisions. It is found that the cointegration property breaks down in the last year or so before a benchmark revision. Hence, we conclude that there is some information content in benchmark revisions. This last point is illustrated by reporting that inflation forecasts could be improved by the addition of a time series that reflects benchmark revisions to real GDP. Standard backward and forward-looking Phillips curves are used to explore the statistical significance of benchmark revisions