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Real-time probability forecasts of UK macroeconomic events

Published online by Cambridge University Press:  26 March 2020

Anthony Garratt ,
Kevin Lee  and
Shaun Vahey
Anthony Garratt*
Affiliation:
Birbeck College, University of London
Kevin Lee*
Affiliation:
University of Leicester
Shaun Vahey
Affiliation:
Melbourne Business School, Norges Bank and Reserve Bank of New Zealand
*
e-mail: [email protected]
e-mail: [email protected]
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Extract

An overview is provided of the issues raised in the recent literature on the use of real-time data in the context of nowcasting and forecasting UK macroeconomic events. The ideas are illustrated through two specific applications using UK real-time data available over 1961-2006 and providing probability forecasts that could have been produced in real time over the past twenty years. In the first, we consider the reliability of first-release data on the components of UK aggregate demand by looking at forecasts of the probability of substantial data revisions. In the second, we consider the estimation of the output gap, illustrating the uncertainty surrounding its measurement through density forecasts and focusing on its interpretation in terms of inflationary pressure through an event probability forecast.

Keywords

real-time datadata revisionprobability forecastsE52E58
Type
Articles
Information
National Institute Economic Review , Volume 203 , January 2008 , pp. 78 - 90
Copyright
Copyright © 2008 National Institute of Economic and Social Research

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