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Real-Time Probability Forecasts of Uk Macroeconomic Events

Author

Listed:
  • Anthony Garratt

    (Birkbeck College, University of London, e-mail: a.garratt@bbk.ac.uk)

  • Kevin Lee

    (University of Leicester, e-mail: kevin.lee@le.ac.uk)

  • Shaun Vahey

    (Melbourne Business School, Norges Bank and Reserve Bank of New Zealand)

Abstract

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.

Suggested Citation

  • Anthony Garratt & Kevin Lee & Shaun Vahey, 2008. "Real-Time Probability Forecasts of Uk Macroeconomic Events," National Institute Economic Review, National Institute of Economic and Social Research, vol. 203(1), pages 78-90, January.
    • Handle: RePEc:sae:niesru:v:203:y:2008:i:1:p:78-90
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    Cited by:

    1. Kevin Lee & Nilss Olekalns & Kalvinder Shields & Zheng Wang, 2012. "Australian Real-Time Database: An Overview and an Illustration of its Use in Business Cycle Analysis," The Economic Record, The Economic Society of Australia, vol. 88(283), pages 495-516, December.

    More about this item

    Keywords

    JEL Classifications: E52; E58;

    JEL classification:

    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies

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