An analysis of the informational content of New Zealand data releases: the importance of business opinion surveys

We examine the informational content of New Zealand data releases using a parametric dynamic factor model estimated with unbalanced real-time panels of quarterly data. The data are categorised into 21 different release blocks, allowing us to make 21 different factor model forecasts each quarter. We compare three of these factor model forecasts for real GDP growth, CPI inflation, non-tradable CPI inflation, and tradable CPI inflation with real-time forecasts made by the Reserve Bank of New Zealand each quarter. We find that, at some horizons, the factor model produce forecasts of similar accuracy to the Reserve Bank’s forecasts. Analysing the marginal value of each of the data releases reveals the importance of the business opinion survey data – the Quarterly Survey of Business Opinion and the National Bank’s Business Outlook survey – in determining how factor model predictions, and the uncertainty around those predictions, evolves through each quarter.