EconPapers    
Economics at your fingertips  
 

A new leading indicator of UK quarterly GDP growth

Catherine Mathieu () and Françoise Charpin ()
Additional contact information
Françoise Charpin: OFCE - OFCE - Sciences Po - Sciences Po

Working Papers from HAL

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.

Date: 2004-09
Note: View the original document on HAL open archive server: https://hal-sciencespo.archives-ouvertes.fr/hal-00972860
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
https://hal-sciencespo.archives-ouvertes.fr/hal-00972860/document (application/pdf)

Related works:
Working Paper: A new Leading Indicator of UK Quarterly GDP Growth (2004) Downloads
Working Paper: A new leading indicator of UK quarterly GDP growth (2004) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:wpaper:hal-00972860

Access Statistics for this paper

More papers in Working Papers from HAL
Bibliographic data for series maintained by CCSD ().

 
Page updated 2019-07-22
Handle: RePEc:hal:wpaper:hal-00972860