Predicting Restatements in Macroeconomic Indicators Using Accounting Information
68 Pages Posted: 1 Jun 2014 Last revised: 23 Oct 2015
Date Written: August 2015
Earnings growth dispersion contains information about trends in labor reallocation, unemployment change, and, ultimately, aggregate output. We find that initial macroeconomic estimates released by government statistical agencies do not fully incorporate this information. As a consequence, earnings growth dispersion predicts future restatements in nominal and real GDP growth (and unemployment change) both in the in-sample and out-of-sample tests. The documented predictable restatements are not fully anticipated by the investors. Further, when we adjust GDP estimates using the out-of-sample restatement predictions, we find statistically and economically significant effects for the monetary policy prescriptions (Taylor rule) and banking regulation (Basel III).
Keywords: Macroeconomy, Aggregate earnings, Earnings Dispersion
JEL Classification: M41, E37, E44, C82
Suggested Citation: Suggested Citation