Stock markets and real-time macroeconomic data

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In empirical studies, it is common to analyze historical time series using revised macroeconomic data available post-factum. However, this approach overlooks the significant revisions that macroeconomic data undergo over time, which can alter the outcomes of analyses depending on the data used. This raises the question of whether data availability should be considered in real-time discussions of macroeconomic and financial issues. Recently, new sources of real-time macroeconomic data have emerged for several countries, prompting research into the impact of using real-time data on empirical analyses, particularly in forecasting models and monetary policy decisions. However, few studies have examined the implications for financial analyses when real-time data is taken into account. Addressing this gap, Daniel Hartmann investigates how the use of real-time macroeconomic data affects empirical finance results. His study compares data sets from the United States, the United Kingdom, and Germany, aiming to determine whether the out-of-sample predictability of stock returns and market volatility significantly changes when real-time data is utilized instead of revised data. Additionally, he explores the effects on empirical tests of a production-based general equilibrium asset pricing model when employing real-time data.