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UK Real-Time Macro Data Characteristics

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Author Info

  • Anthony Garratt

    (Department of Economics, Mathematics & Statistics, Birkbeck)

  • Shaun P Vahey

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 autoregression 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.

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File URL: http://www.ems.bbk.ac.uk/research/wp/PDF/BWPEF0502.pdf
File Function: First version, 2005
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Bibliographic Info

Paper provided by Birkbeck, Department of Economics, Mathematics & Statistics in its series Birkbeck Working Papers in Economics and Finance with number 0502.

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Date of creation: Jan 2005
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Handle: RePEc:bbk:bbkefp:0502

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Keywords: real-time data; structural breaks; probability event forecasts;

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Citations

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Cited by:
  1. Jacopo Cimadomo, 2011. "Real-time data and fiscal policy analysis: a survey of the literature," Working Paper Series 1408, European Central Bank.
  2. Juan Manuel Julio, . "Modeling Data Revisions," Borradores de Economia 641, Banco de la Republica de Colombia.
  3. Alastair Cunningham & Jana Eklund & Christopher Jeffery & George Kapetanios & Vincent Labhard, 2007. "A state space approach to extracting the signal from uncertain data," Bank of England working papers 336, Bank of England.
  4. Anthony Garratt & Gary Koop & Shaun P. Vahey, 2006. "Forecasting Substantial Data Revisions in the Presence of Model Uncertainty," Birkbeck Working Papers in Economics and Finance 0617, Birkbeck, Department of Economics, Mathematics & Statistics.
  5. Dean Croushore, 2011. "Frontiers of Real-Time Data Analysis," Journal of Economic Literature, American Economic Association, vol. 49(1), pages 72-100, March.
  6. Pierre Siklos, 2006. "What Can We Learn from Comprehensive Data Revisions for Forecasting Inflation: Some US Evidence," Working Papers eg0049, Wilfrid Laurier University, Department of Economics, revised 2006.
  7. Jan Jacobs & Jan-Egbert Sturm, 2007. "A real-time analysis of the Swiss trade account," Money Macro and Finance (MMF) Research Group Conference 2006 167, Money Macro and Finance Research Group.
  8. Cath Sleeman, 2006. "Analysis of revisions to quarterly GDP - a real-time database," Reserve Bank of New Zealand Bulletin, Reserve Bank of New Zealand, vol. 69, pages 44p., March.
  9. Akram, Q. Farooq, 2011. "Policy analysis in real time using IMF's monetary model," Economic Modelling, Elsevier, vol. 28(4), pages 1696-1709, July.
  10. Anthony Garratt & Gary Koop & Emi Mise & Shaun P Vahey, 2007. "Real-time Prediction with UK Monetary Aggregates in the Presence of Model Uncertainty," Birkbeck Working Papers in Economics and Finance 0714, Birkbeck, Department of Economics, Mathematics & Statistics.
  11. Anthony Garratt & Kevin Lee & Emi Mise & Kalvinder Shields, 2006. "Real Time Representation of the UK Output Gap in the Presence of Trend Uncertainty," Birkbeck Working Papers in Economics and Finance 0618, Birkbeck, Department of Economics, Mathematics & Statistics.
  12. Golinelli, Roberto & Parigi, Giuseppe, 2005. "Short-Run Italian GDP Forecasting and Real-Time Data," CEPR Discussion Papers 5302, C.E.P.R. Discussion Papers.
  13. Alastair Cunningham & Chris Jeffery & George Kapetanios & Vincent Labhard, 2007. "A State Space Approach To The Policymaker's Data Uncertainty Problem," Money Macro and Finance (MMF) Research Group Conference 2006 168, Money Macro and Finance Research Group.
  14. Dean Croushore, 2008. "Revisions to PCE inflation measures: implications for monetary policy," Working Papers 08-8, Federal Reserve Bank of Philadelphia.

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