UK Real-Time Macro Data Characteristics

Anthony Garratt () and Shaun Vahey

Economic Journal, 2006, vol. 116, issue 509, F119-F135

Abstract: 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 1990Q1 to 1999Q2. Ignoring the predictability in initial measurements understates considerably the probability of above trend output growth. Copyright Reserve Bank of New Zealand 2006..

Date: 2006
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Working Paper: UK Real-Time Macro Data Characteristics (2005)
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