A new leading indicator of UK quarterly GDP growth
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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- 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.
- Hervé Péléraux & Eric Heyer, 2004. "Un indicateur de croissance infra-annuelle pour l'économie française," Post-Print hal-01019986, HAL.
- Hervé Péléraux & Eric Heyer, 2004. "Un indicateur de croissance infra-annuelle pour l'économie française," Sciences Po publications info:hdl:2441/1926, Sciences Po.
- 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.
- 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, 02.
- 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. Full references (including those not matched with items on IDEAS)
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