Accéder directement au contenu Accéder directement à la navigation
Pré-publication, Document de travail

A new leading indicator of UK quarterly GDP growth

Abstract : This paper presents a new leading indicator of UK output growth. The aim of the indicator is to forecast quarterly real GDP growth over a two-quarter horizon, using latest available information, mainly on a monthly basis, such as survey data, or on a daily basis, such as financial data (interest rates and exchange rates) and raw materials prices. We adopt a model where GDP growth relies on the Index of Production, the Retail Sales Index, survey data in the manufacturing sector, retail and wholesale trade, financial services and short-term interest rates. The indicator is built on a two-step regression-based approach. First, we estimate an equation for the quarterly GDP growth rate based on coincident and leading series. Second, we estimate monthly and/or quarterly equations which will be used to forecast the coincident and leading series showing a lead of less than six months. This enables us to forecast GDP growth for the current and coming quarters. We check that the indicator would have produced a satisfactory outcome over the last four years.
Type de document :
Pré-publication, Document de travail
Liste complète des métadonnées

Littérature citée [7 références]  Voir  Masquer  Télécharger

https://hal-sciencespo.archives-ouvertes.fr/hal-00972860
Contributeur : Spire Sciences Po Institutional Repository <>
Soumis le : jeudi 22 mai 2014 - 14:51:45
Dernière modification le : mercredi 5 février 2020 - 14:44:03
Archivage à long terme le : : vendredi 22 août 2014 - 11:07:17

Fichier

wp2004-10.pdf
Fichiers produits par l'(les) auteur(s)

Identifiants

  • HAL Id : hal-00972860, version 1
  • SCIENCESPO : 2441/1932

Collections

Citation

Catherine Mathieu, Françoise Charpin. A new leading indicator of UK quarterly GDP growth. 2004. ⟨hal-00972860⟩

Partager

Métriques

Consultations de la notice

465

Téléchargements de fichiers

232