UK Real-Time Macro Data Characteristics  

Oleh:

Vahey, Shaun P. ; Garratt, Anthony

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Economic Journal (EBSCO) vol. 116 no. 509 (2006), page F119-F135.
Topik: MACROECONOMIC; real - time macro data; macroeconomic; characteristics; forecasting
Fulltext: F119.pdf (207.78KB)

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: EE28.21 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

We characterise the relationships between preliminary and subsequent measurements for 16 commonly - used UK macroeconomic indicators drawn from two existing real - time data sets and a new nominal variable database. Most preliminary measurements are biased predictors of subsequent measurements, with some revision series affected by multiple structural breaks. To illustrate how these findings facilitate real - time forecasting, we use a vector autoregresion to generate real - time one step ahead probability event forecasts for 1990 Q1 to 1999 Q2. Ignoring the predictability in initial measurements understates considerably the probability of above trend output growth.

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