A new leading indicator of UK quarterly GDP growth
Catherine Mathieu () and
Additional contact information
Françoise Charpin: Observatoire français des conjonctures économiques
No N° 2004-10, Sciences Po publications from Sciences Po
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.
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
Working Paper: A new Leading Indicator of UK Quarterly GDP Growth (2004)
Working Paper: A new leading indicator of UK quarterly GDP growth (2004)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:spo:wpmain:info:hdl:2441/1932
Access Statistics for this paper
More papers in Sciences Po publications from Sciences Po Contact information at EDIRC.
Bibliographic data for series maintained by Spire @ Sciences Po Library ().