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Nowcasting UK consumption and investment with monthly output components and realtime indicators

Author

Listed:
  • Galvão, Ana Beatriz
  • Macqueen, Rory

Abstract

The first ONS estimates of UK Investment and Consumption growth are revised to incorporate data that was not previously available. We draw on a large set of traditional and alternative economic indicators to nowcast investment and aggregate consumption growth. We compare the nowcast performance of mixed frequency models with the ONS first estimates for both macroeconomic variables. When predicting the latest estimate, the nowcasting models cannot improve over the ONS’ first estimate. Nonetheless, some classes of predictors can assist in improving early estimates under some circumstances. In particular, monthly sectoral growth data and real-time data on vacancies would offer potential timely insights into both consumption and investment movements during volatile periods such as 2020-2021.

Suggested Citation

  • Galvão, Ana Beatriz & Macqueen, Rory, 2023. "Nowcasting UK consumption and investment with monthly output components and realtime indicators," Discussion Papers escoe-dp-2023-10, Economic Statistics Centre of Excellence.
    • Handle: RePEc:eoe:escoed:escoe-dp-2023-10
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    File URL: https://www.repository-escoe.com/id/eprint/19/1/ESCoE%20DP%202023-10.pdf
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    References listed on IDEAS

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    1. Carriero, Andrea & Galvão, Ana Beatriz & Kapetanios, George, 2019. "A comprehensive evaluation of macroeconomic forecasting methods," International Journal of Forecasting, Elsevier, vol. 35(4), pages 1226-1239.
    2. Andrea Carriero & Todd E. Clark & Massimiliano Marcellino, 2015. "Realtime nowcasting with a Bayesian mixed frequency model with stochastic volatility," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 178(4), pages 837-862, October.
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    JEL classification:

    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods

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