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A new Leading Indicator of UK Quarterly GDP Growth

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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.
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  • Francoise Charpin & Catherine Mathieu, 2004. "A new Leading Indicator of UK Quarterly GDP Growth," Documents de Travail de l'OFCE 2004-10, Observatoire Francais des Conjonctures Economiques (OFCE).
    • Handle: RePEc:fce:doctra:0410
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    File URL: http://www.ofce.sciences-po.fr/pdf/dtravail/WP2004-10.pdf
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    1. repec:spo:wpecon:info:hdl:2441/1926 is not listed on IDEAS
    2. repec:spo:wpmain:info:hdl:2441/1926 is not listed on IDEAS
    3. Françoise Charpin, 2002. "Un indicateur de croissance à court terme de la zone euro," Revue de l'OFCE, Presses de Sciences-Po, vol. 83(4), pages 229-242.
    4. Éric Heyer & Hervé Péléraux, 2004. "Un indicateur de croissance infra-annuelle pour l'économie française," Revue de l'OFCE, Presses de Sciences-Po, vol. 88(1), pages 203-218.
    5. James Mitchell & Richard J. Smith & Martin R. Weale & Stephen Wright & Eduardo L. Salazar, 2005. "An Indicator of Monthly GDP and an Early Estimate of Quarterly GDP Growth," Economic Journal, Royal Economic Society, vol. 115(501), pages 108-129, February.
    6. Françoise Charpin, 2001. "Un indicateur de croissance à court terme aux États-Unis," Revue de l'OFCE, Presses de Sciences-Po, vol. 79(4), pages 171-189.
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    1. Françoise Charpin, 2005. "OFCE quaterly GDP growth indicators," Documents de Travail de l'OFCE 2005-04, Observatoire Francais des Conjonctures Economiques (OFCE).

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